Tests For Market Integration and the Law of One Price: The Market For Whitefish in France

Asche, Frank; Gordon, Daniel V.; Hannesson, Rögnvaldur

doi:10.1086/mre.19.2.42629428

Cited by 109 publications

(88 citation statements)

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“…The Johansen test for cointegration was used with the main condition for using this test being that the price series shows nonstationary probability [5,17,27].…”

Section: Testing Market Integrationmentioning

confidence: 99%

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Price Setting in Markets for Egyptian Farmed Fish

Nasr-Allah¹,

Dickson²

2017

eer

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This article investigates the relation between fish supply volumes and sales values in El-Obour wholesale market. The study also examines market cointegration between farmed tilapia and imported wild frozen fish (tilapia, mackerel, Mediterranean horse mackerel, sardine and lizardfish). Regression and Johansen cointegration analysis was used for market data analysis. Market data includes fish sales volume and prices in El-Obour wholesale market in 2012. The results indicate that there is a negative relationship between the volume of farmed tilapia supplied to the market and sales values. Cointegration analysis shows that tilapia grade 1 and 2 prices compete together in market while catfish does not compete with farmed tilapia. Frozen lizardfish and sardines prices are cointegrated with tilapia grades 1 and 2 while tilapia grade 3 competes with lizardfish and Mediterranean horse mackerel, but there was no evidence of market cointegration between catfish and frozen wild fish. The implications are important as increased tilapia supplies to the market leads to declining sales prices. In addition, there is market competition between wild frozen fish and farmed tilapia, however they are not fully integrated. Increasing imports of frozen fish could reduce the selling price of farmed tilapia and negatively influence investment in fish farms.

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“…The Johansen test for cointegration was used with the main condition for using this test being that the price series shows nonstationary probability [5,17,27].…”

Section: Testing Market Integrationmentioning

confidence: 99%

“…In this study, we ran the ADF test with and without a constant, as the prices of most species do not fluctuate around a constant. The Augmented Dickey-Fuller (ADF) tests carried out using the formula as described by [27].…”

Section: Testing Market Integrationmentioning

confidence: 99%

Price Setting in Markets for Egyptian Farmed Fish

Nasr-Allah¹,

Dickson²

2017

eer

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“…In this case, traditional econometric approaches are no longer valid. An alternative approach, based on cointegration analysis techniques, has been developed and used to test for causality, market integration and the so called "Law of One Price" (Asche et al, 2004) In this study, we analyzed price determination throughout the Chilean hake market chain. The basic motivation is to characterize the way prices are determined along this chain.…”

Section: Introductionmentioning

confidence: 99%

The behavior of hake prices in Chile: is the world market leading?

Quezada

Dresdner

2014

lajar

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ABSTRACT. In this study we analyzed price determination throughout the Chilean hake market chain. To analyze the relationship between different prices participating in this chain, a VECM model was successfully estimated. One cointegration vector was identified. Tests for weak exogenous variables, causality, and significance of different variables were performed, and a parsimonious version of the model was selected. The results obtained in this paper outline a price determination process that, in the end, is governed by world market conditions. Moreover, the diverse links in the hake market chain seem to be well integrated, which implies that there is little room for domestic price determination. Keywords: hake, fish price determination, time series, market chain, cointegration, market integration, Chile. El comportamiento del precio de la merluza común en Chile:¿Es el mercado mundial el líder?RESUMEN. En este estudio se analiza la determinación de precios a través de la cadena de comercialización de merluza chilena. Para analizar la relación entre los diferentes precios que participan en esta cadena, se estimó con éxito un modelo VECM. Se identificó un vector de cointegración. Se realizaron pruebas para las variables exógenas débiles, causalidad, y significancia de diferentes variables, y se seleccionó una versión parsimoniosa del modelo. Los resultados obtenidos describen un proceso de determinación de precios que, al final, se rige por las condiciones del mercado mundial. Por otra parte, los diversos eslabones de la cadena de comercialización de merluza parecen estar bien integrados, lo que implica que hay poco espacio para la determinación de los precios internos. Palabras clave: merluza común, determinación de precios, series de tiempo, cadena de comercialización, cointegración, integración de mercado, Chile.

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“…Time series analysis of market integration has been used for a number of seafood products in recent decades. It is particularly useful when there is a large number of products/markets of interest, as demand analysis in such cases is not feasible (Asche, Gordon and Hannesson, 2004). Time series analysis can also be a flexible approach by allowing tests across geographically distinct markets, different species, and different product forms.…”

mentioning

confidence: 99%

“…Time series analysis can also be a flexible approach by allowing tests across geographically distinct markets, different species, and different product forms. If prices are stationary, ordinary regression analysis can be used (Squires, Herrick Jr., and Hastie, 1989;Asche, Gordon and Hannesson, 2004). But if prices are nonstationary, cointegration analysis is the appropriate econometric tool.…”

mentioning

confidence: 99%

U.S. Shrimp Market Integration

2011

Self Cite

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Recent supply shocks in the Gulf of Mexico-including hurricanes, the Deepwater Horizon oil spill, and the seasonal appearance of a large dead zone of low oxygen water (hypoxia)-have raised concerns about the economic viability of the U.S. shrimp fishery. The ability for U.S. shrimpers to mediate supply shocks through increased prices hinges on the degree of market integration, both among shrimp of different sizes classes and between U.S. wild caught shrimp and imported farmed shrimp. We use detailed data on shrimp prices by size class and import prices to conduct a co-integration analysis of market integration in the shrimp industry. We find significant evidence of market integration, suggesting that the law of one price holds for this industry. Hence, in the face of a supply shocks, prices do not rise and instead imports of foreign farmed fish increase. JEL: Q22Keywords: seafood trade, market integration, environmental shocks Acknowledgments: Financial support for this research was provided by the National Oceanic and Atmospheric Administration Grant# 2162501 and by the Research Council of Norway. The authors thank Jim Nance for providing the U.S. shrimp data and for helpful discussions. 2 U.S. Shrimp Market IntegrationAbstract: Recent supply shocks in the Gulf of Mexico-including hurricanes, the Deepwater Horizon oil spill, and the seasonal appearance of a large dead zone of low oxygen water (hypoxia)-have raised concerns about the economic viability of the U.S. shrimp fishery. The ability for U.S. shrimpers to mediate supply shocks through increased prices hinges on the degree of market integration, both among shrimp of different sizes classes and between U.S. wild caught shrimp and imported farmed shrimp. We use detailed data on shrimp prices by size class and import prices to conduct a co-integration analysis of market integration in the shrimp industry. We find significant evidence of market integration, suggesting that the law of one price holds for this industry. Hence, in the face of a supply shocks, prices do not rise and instead imports of foreign farmed fish increase. JEL: Q22

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Tests For Market Integration and the Law of One Price: The Market For Whitefish in France

Cited by 109 publications

References 50 publications

Price Setting in Markets for Egyptian Farmed Fish

Price Setting in Markets for Egyptian Farmed Fish

The behavior of hake prices in Chile: is the world market leading?

U.S. Shrimp Market Integration

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