Hedging Efficiency of Atlantic Salmon Futures
Frank Asche () and
No 2015/12, UiS Working Papers in Economics and Finance from University of Stavanger
This paper examines the hedging properties of Atlantic salmon futures. Hedging is important since it allows for mitigation of the risk of adverse price changes in the spot market. We examine the hedging efficiency of three types of hedging strategies; unhedged, fully hedged and hedging using optimal hedging ratios. To find the optimal hedge ratio we use an estimated constant hedge ratio, optimal hedge ratios estimated with rolling 20-week and 52-week windows, and bivariate GARCH models. The results provide evidence that hedging using futures contracts listed on Fish Pool reduces risk for producers of farmed Atlantic salmon. The best hedging efficiency is achieved with a simple one-to-one hedge, closely followed by the bivariate GARCH approach.
Keywords: Atlantic salmon markets; Forward prices; Risk premium (search for similar items in EconPapers)
JEL-codes: G13 G14 Q22 (search for similar items in EconPapers)
Pages: 27 pages
New Economics Papers: this item is included in nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed
Downloads: (external link)
https://dl.dropboxusercontent.com/u/8078351/uis_wp ... _12_asche_misund.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:hhs:stavef:2015_012
Access Statistics for this paper
More papers in UiS Working Papers in Economics and Finance from University of Stavanger University of Stavanger, NO-4036 Stavanger, Norway. Contact information at EDIRC.
Bibliographic data for series maintained by Bernt Arne Odegaard ().