Hedging efficiency of Atlantic salmon futures
Journal article, Peer reviewed
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Original versionMisund, B., Asche, F. (2016) Hedging efficiency of Atlantic salmon futures. Aquaculture Economics & Management, 20(4), pp. 368-381. 10.1080/13657305.2016.1212123
This article examines the hedging properties of Atlantic salmon futures. Hedging is important because 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.
This is an Accepted Manuscript of an article published by Taylor & Francis in AQUACULTURE ECONOMICS & MANAGEMENT on 24 Aug 2016, available online: http://dx.doi.org/10.1080/13657305.2016.1212123