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Determinants of the Atlantic salmon futures risk premium

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  • Asche, Frank
  • Misund, Bård
  • Oglend, Atle

Abstract

A futures market has recently been established for Atlantic salmon, and in this paper we examine the risk premium in salmon futures prices. Recent studies suggest that industry-specific production factors as well as the basis can influence the relationship between spot and futures prices. Using Atlantic salmon futures and spot price data from 2006–2015, we analyze the impact of the futures-spot basis, seasonality, industry-specific variables, and demand uncertainty on the risk premium and spot price change. The results suggest that the basis and seasonality significantly explain the variation in the risk premium. Moreover, in contrast to studies on other animal production commodities, the basis seems more important for determining the risk premium, than for the spot price change.

Suggested Citation

  • Asche, Frank & Misund, Bård & Oglend, Atle, 2016. "Determinants of the Atlantic salmon futures risk premium," Journal of Commodity Markets, Elsevier, vol. 2(1), pages 6-17.
    • Handle: RePEc:eee:jocoma:v:2:y:2016:i:1:p:6-17
    DOI: 10.1016/j.jcomm.2016.07.001
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    References listed on IDEAS

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    Cited by:

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    3. Ewald, Christian & Zou, Yihan, 2021. "Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: Do fish jump?," European Journal of Operational Research, Elsevier, vol. 294(2), pages 801-815.
    4. Haarstad, Aleksander H. & Lavrutich, Maria & Strypet, Kristian & Strøm, Eivind, 2022. "Multi-commodity price risk hedging in the Atlantic salmon farming industry," Journal of Commodity Markets, Elsevier, vol. 25(C).
    5. Dahl, Roy Endré & Jonsson, Erlendur, 2018. "Volatility spillover in seafood markets," Journal of Commodity Markets, Elsevier, vol. 12(C), pages 44-59.
    6. Asche, Frank & Cojocaru, Andreea L. & Gaasland, Ivar & Straume, Hans-Martin, 2018. "Cod stories: Trade dynamics and duration for Norwegian cod exports," Journal of Commodity Markets, Elsevier, vol. 12(C), pages 71-79.
    7. 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.
    8. Misund, Bård, 2018. "Common and fundamental risk factors in shareholder returns of Norwegian salmon producing companies," Journal of Commodity Markets, Elsevier, vol. 12(C), pages 19-30.

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    More about this item

    Keywords

    G13; G14; Q22; Atlantic salmon markets; Futures prices; Risk premium; Commodities; Fish Pool Exchange;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • Q22 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Renewable Resources and Conservation - - - Fishery

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