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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.
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참고문헌 (20)
참고문헌 신청
Akaike, H. / 1973 / Second International Symposium on Information Theory / Akademiai Kiado
Bera, A. / 1980 / Efficient Tests for Normality, Heteroskedasticity, and Serial Independence of Regression Residuals / Economic Letters 6:225~259
Bollerslev, T. / 1987 / A Conditionally Hteroskedastic Time Series Model for Speculative Prices and Rates of Return / Review of Economics and Statistics 69:542~547
Bollerslev, T. / 1990 / Modelling the Coherence in Short-run Nominal Rates : A Multivariate Generalized ARCH Approach / Review of Economics and Statistics 72:498~505
Bollerslev, T. / 1988 / A Capital Asset Pricing Model with Time Varying Covariances / Journal of Political Economy 96:116~131
Bera, A. / 1980 / Efficient Tests for Normality, Heteroskedasticity, and Serial Independence of Regression Residuals / Economic Letters 6:225~259
Bollerslev, T. / 1987 / A Conditionally Hteroskedastic Time Series Model for Speculative Prices and Rates of Return / Review of Economics and Statistics 69:542~547
Bollerslev, T. / 1990 / Modelling the Coherence in Short-run Nominal Rates : A Multivariate Generalized ARCH Approach / Review of Economics and Statistics 72:498~505
Bollerslev, T. / 1988 / A Capital Asset Pricing Model with Time Varying Covariances / Journal of Political Economy 96:116~131
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