• 수산경영론집
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• 제40권2호
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• pp.49-70
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• 2009

This study proviedes GARCH model(Bollerslev, 1986) to analyze the structural characteristics of price volatility in domestic aquacultural fish market of Korea. As a case study, flatfish and rock-fish are analyzed as major species with relatively high portion in an aspect of production volume among fish captured in Korea. For analyzing, this study uses daily market data (dating from Jan 1 2000 to June 30, 2008) published by the Noryangjin Fisheries Wholesale Market which is located in Seoul of Korea. This study performs normality test on trading volume and price volatility of flatfish and rock-fish as an advanced empirical approach. The normality test adopted is Jarque-Bera test statistic. As a result, first, a null hypothesis that "an empirical distribution follows normal distribution" was rejected in both fishes. The distribution of daily market data of them were not only biased toward positive(+) direction in terms of kurtosis and skewness, but also characterized by leptokurtic distribution with long right tail. Secondly, serial correlations were found in data on market trading volume and price volatility of two species during very long period. Thirdly, the results of unit root test and ARCH-LM test showed that all data of time series were very stationary and demonstrated effects of ARCH. These statistical characteristics can be explained as a reasonable ground for supporting the fitness of GARCH model in order to estimate conditional variances that reveal price volatility in empirical analysis. From empirical data analysis above, this study drew the following conclusions. First of all, from an empirical analysis on potential effects of seasonality and the day of week on price volatility of aquacultural fish, Monday effects were found in both species and Thursday and Friday effects were also found in flatfish. This indicates that Monday is effective in expanding price volatility of aquacultural fish market and also Monday has higher effects upon the price volatility of fish than other days of week have since it has more new information for weekend. Secondly, the empirical analysis led to a common conclusion that there was very high price volatility of flatfish and rock-fish. This points out that the persistency parameter($\lambda$), an index of possibility for current volatility to sustain similarly in the future, was higher than 0.8-equivalently nearly to 1-in both flatfish and rock-fish, which presents volatility clustering. Also, this study estimated and compared and model that hypothesized normal distributions in order to determine fitness of respective models. As a result, the fitness of GARCH(1, 1)-t model was better than model where the distribution of error term was hypothesized through-distribution due to characteristics of fat-tailed distribution, was also better than model, as described in the results of basic statistic analysis. In conclusion, this study has an important mean in that it was introduced firstly in Korea to investigate in price volatility of Korean aquacultural fishery products, although there was partially a limited of official statistic data. Therefore, it is expected that the results of this study will be useful as a reference material for making and assessing governmental policies. Also, it is looked forward that the results will be helpful to build a fishery business plan as and aspect of producer, and also to take timely measures to potential price fluctuations of fishery products in market. Hence, it is advisable that further studies related to such price volatility in fishery market will extend and evolve into a wider variety of articles and issues in near future.

• 한국해양학회지:바다
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• 제24권2호
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• pp.318-331
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• 2019

HYCOM 재분석 자료를 이용하여 동해에서 2003년과 2014년에 장기간 지속되었던 두 개의 난수성 에디를 선정하여 각각 WE03과 WE14로 명명하고 비교 분석하였다. 두 난수성 에디가 형성되는 시기는 동한난류가 평년에 비해 북상하는 것으로 나타났으며, 이들 난수성 에디는 동한난류와 아한대전선의 상호작용을 통해 상대적으로 수심이 얕은 한국대지 해역에서 생성되었다. 겨울철 연직 혼합에 의해서 난수성 에디의 중심부는 수심 150 m까지 $13^{\circ}C$, 34.1 psu 가량의 균질한 특성을 보였다. WE03이 생성된 후 이듬해인 2004년에 대한해협 서수도를 통해 동해로 유입되는 해수의 양이 평년에 비해 많았으나 WE14가 생성된 후 이듬해인 2015년에는 대한해협 서수도를 통해 동해로 유입되는 해수의 양이 평년에 비해 많지 않았다. 이에서 대마난류가 난수성 에디에 열과 염을 공급하지만, 난수성 에디의 장기 지속에는 큰 영향을 미치지 않음을 알 수 있다. 두 난수성 에디는 울릉도 부근에서 1년 6개월 이상 유지되었는데, 두 에디의 이동경로에 있어 특별한 공통점은 보이지 않았다. 울릉분지 부근에서는 동한난류의 사행 등으로 크고 작은 에디가 계속 생성된다. 장기간 존속하는 난수성 에디는 특별한 외적 요인에 의해서 생성되는 것이 아니라, 동한난류 또는 동한난류가 사행하는 과정에서 생성된 에디와의 상호작용을 통해 생성된 것으로 보인다. 동한난류가 평년에 비해 북상했던 시기에 장기간 지속된 난수성 에디가 항상 발생하지는 않았다는 점이 위와 같은 결론을 뒷받침한다.