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The Causality and Volatility Spillover between Farming fish Species in Consumption Replacement Relation

소비 대체 양식어종 간의 가격 인과성과 변동성 전이에 관한 연구

  • Kang, Seok-Kyu (Department of Business Administration, Jeju National University)
  • Received : 2015.08.21
  • Accepted : 2015.12.14
  • Published : 2015.12.31

Abstract

This study is to analyse the causality and volatility spillover between farming fish species in consumption replacement relation using flatfish(oliver flounder) and rockfish's wholesale market price data from September 2006 to July 2015. For the analysis, VAR(5) model and bivariate asymmetric GARCH-BEKK model are employed. The empirical results of this study are summarized as follows: First, the price volatility of flatfish and rockfish is very large without the trend during the sample period. Second, the correlation coefficient between flatfish and rockfish wholesale markets has positive 0.1059 value. Third, causality relation is unidirectional from rockfish market to flatfish market. Fourth, conditional volatility spillover effect is unidirectional from rockfish market to flatfish market, but asymmetric volatility effect is bidirectional between flatfish and rockfish markets that implies the bad news arising from flatfish wholesale market impact on rockfish market's volatility and the bad news arising from rockfish wholesale market impact on flatfish market's volaltilty. Consequently, based on the thus results, the volatility spillover effect interacts and is bidirectional between flatfish and rockfish wholesale markets.

Keywords

Volatility Spillover;Causality;Flatfish(Olive flounder);Rockfish;Bivariate GARCH-BEKK Model

Acknowledgement

Supported by : 제주대학교

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