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Premiums/Discounts And Predictive Ability Of The Shrimp Futures Market

Author

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  • Martinez-Garmendia, Josue
  • Anderson, James L.

Abstract

Seafood futures contracts are a novelty in the derivative markets, having shrimp as their only exponent. Unfortunately, shrimp futures contracts have suffered a disappointing start. The analyses focus on testing whether premiums/discounts for non-par deliverable shrimp size categories can eliminate cash price differentials, and whether the shrimp futures market can predict cash prices without bias. Results indicate ineffective premiums/discounts and predictive bias. These results and the momentous changes taking place in the seafood industry are contrasted to discuss the viability of seafood futures contracts.

Suggested Citation

  • Martinez-Garmendia, Josue & Anderson, James L., 2001. "Premiums/Discounts And Predictive Ability Of The Shrimp Futures Market," Agricultural and Resource Economics Review, Northeastern Agricultural and Resource Economics Association, vol. 30(2), pages 1-8, October.
    • Handle: RePEc:ags:arerjl:31424
    DOI: 10.22004/ag.econ.31424
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    References listed on IDEAS

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    1. Josué Martínez‐Garmendia & James L. Anderson, 1999. "Hedging performance of shrimp futures contracts with multiple deliverable grades," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 19(8), pages 957-990, December.
    2. Hall, S G, 1991. "The Effect of Varying Length VAR Models on the Maximum Likelihood Estimates of Cointegrating Vectors," Scottish Journal of Political Economy, Scottish Economic Society, vol. 38(4), pages 317-323, November.
    3. deB. Harris, Frederick H. & McInish, Thomas H. & Shoesmith, Gary L. & Wood, Robert A., 1995. "Cointegration, Error Correction, and Price Discovery on Informationally Linked Security Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(4), pages 563-579, December.
    4. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
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    1. 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.
    2. Anderson, James L. & Asche, Frank & Garlock, Taryn, 2018. "Globalization and commoditization: The transformation of the seafood market," Journal of Commodity Markets, Elsevier, vol. 12(C), pages 2-8.
    3. Asche, Frank & Misund, Bard & Oglend, Atle, 2015. "Production Risk and the Futures Price Risk Premium?," UiS Working Papers in Economics and Finance 2015/13, University of Stavanger.
    4. Nygaard, Rune & Roll, Kristin H., 2024. "Cross-hedging wild salmon prices," Journal of Commodity Markets, Elsevier, vol. 33(C).
    5. Asche, Frank & Misund, Bard & Oglend, Atle, 2015. "The Spot-Forward Relationship in the Atlantic Salmon Market," UiS Working Papers in Economics and Finance 2015/16, University of Stavanger.
    6. Dahl, Roy Endré & Jonsson, Erlendur, 2018. "Volatility spillover in seafood markets," Journal of Commodity Markets, Elsevier, vol. 12(C), pages 44-59.

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