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Efficiency in the Atlantic salmon futures market

Author

Listed:
  • Bendik P. Andersen
  • Petter E. de Lange
Abstract
In this study, we examine the efficiency and unbiasedness of Atlantic salmon futures prices. Market participants use the Fish Pool futures market to hedge the increasingly volatile salmon spot price. We further examine the futures market's predictive accuracy, comparing it to a variety of proprietary prediction models. Our results show that futures prices are efficient and unbiased in the long‐run, while being biased and inefficient in the short‐run. Moreover, we find that futures prices provide an adequate price discovery function for most contracts, while suffering from magnified risk premiums due to few noncommercial traders.

Suggested Citation

  • Bendik P. Andersen & Petter E. de Lange, 2021. "Efficiency in the Atlantic salmon futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(6), pages 949-984, June.
    • Handle: RePEc:wly:jfutmk:v:41:y:2021:i:6:p:949-984
    DOI: 10.1002/fut.22204
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    References listed on IDEAS

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    Cited by:

    1. Nygaard, Rune & Roll, Kristin H., 2024. "Cross-hedging wild salmon prices," Journal of Commodity Markets, Elsevier, vol. 33(C).

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