DOI QR코드

DOI QR Code

Influences of Volume Volatilities on Price Volatilities in the Fishery Market

수산물 거래량의 변동성이 가격변동성에 미치는 영향분석

  • Ko, Bong-Hyun (Division of Economy and Industry Research in Jeju Development Institute)
  • 고봉현 (제주발전연구원 경제산업연구부)
  • Received : 2014.08.20
  • Accepted : 2014.10.10
  • Published : 2014.10.31

Abstract

This paper presents the GJR GARCH model (Glosten et. al, 1993) to analyze the influences of volume volatilities on price volatilities in the fishery market. For the analysis, this study used the monthly price and volume data of aquacultural flatfish in Jeju. As a result, empirical analysis suggested volatility clustering. The persistency parameter(${\lambda}$) was estimated to be approximately 1 in aquacultural flatfish. The results showed that there is a significant negative relationship between the conditional variance of supply and that of price for aquacultural flatfish. This means that the general law of supply is valid. Finally, the empirical analysis was that an asymmetric coefficient (${\gamma}$) of GJR GARCH model was negative (-). This means that the higher volatility of volume leads to lower price volatility. That is, it is useful to make government policies that can adjust the volume (stockpiling, stabilizing supply and demand).

Keywords

GJR GARCH;Price Volatilities;Volume Volatilities;Fishery Market;Aquacultural Flatfish;Volatility Clustering

References

  1. B. H. Ko., "A Study on the Price Volatility of Fisheries Using GARCH Model", Ocean Policy Research, 22(2), pp.29-54., December 2007.
  2. B. J. Park., "The Impact of Surprise Information on the Relation between Volatility and Trading Volum in Exchange Rate Markets", The Economics Analysis, 13(1), The Bank of Korea, pp.56-87., March 2007.
  3. T. H. Kang., "The Influences of Volume on Wholesale Price Stabilities for Fresh Vegetables", The Journal of Agricultural Economics, 49(1), pp.21-38., March 2008.
  4. S. K. Kang., "The Volume and Price Relationship of the Oyster Market in Producing Area", The Journal of Fisheries Business Administration, 32(1), pp.1-14., June 2001.
  5. B. H. Ko., "Price Volatility, Seasonality and Day-of-the Week Effect for Aquacultural Fishes in Korean Fishery Markets", The Journal of Fisheries Business Administration, Vol40 September 2009
  6. T. V. Binh., M. Dumont., "A Fishing Expedition in the Mekong Delta : Market Volatility and Price Substitutes for Vietnamese Fresh Water Fish", University of Antwerp(Facility of Applied Economics)., 2008.
  7. J. W. Lee, Econometrics, p.933, Pakyoungsa Publishers, 1998.
  8. Glosten, L. R., Jaganathan, R., Runkle, D., "On the Relation between the Expected Value and the Volatility of the Normal Excess Return on Stocks", Journal of Finance, 48, 1993.
  9. M. J. Kim., K. H. Chang., "Financial Econometrics", 2nd Edition, Keoyng-moon Publisher., 2004.
  10. Eviews 5.0 User's Guide, Quantitative Micro-Software, LLC. 2000.
  11. Enders. W., Applied Econometric Time Series(Second Edition), New York : John Wilely & Sons, Inc., 1995.
  12. The Monthly Bulletin of Fisheries Outlook, KMI Fisheries Outlook Center, 2005.- 2013.