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The spot-forward relationship in the Atlantic salmon market

机译：大西洋鲑鱼市场中的现货关系

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This study examines the Fish Pool salmon futures contract with respect to how well the market performs in terms of the futures price being an unbiased estimator of the spot price and whether the market provides a price discovery function. Using data for 2006-2014 and with futures prices with maturities up to 6 months we find that spot and lagged futures prices are cointegrated and that the futures price provides an unbiased estimate of the spot price. We also find that, with the exception of the front month, that the causality is one-directional. The spot prices lead futures prices between 1-6 months maturity. Hence, while the spot and lagged futures prices are unbiased estimates, we do not find support for the hypothesis that futures prices provide a price discovery function. Rather, it seems that innovations in the spot price influence futures prices. This finding is not uncommon in new and immature futures contracts markets. Hence, the salmon futures market is still immature and has not yet reached the stage where futures prices are able to predict future spot prices.
机译：这项研究从期货价格作为现货价格的无偏估计量以及市场是否提供价格发现功能方面，研究了鱼塘鲑鱼期货合约的市场表现。使用2006-2014年的数据以及到期日长达6个月的期货价格，我们发现现货和滞后的期货价格是协整的，并且期货价格提供了现货价格的无偏估计。我们还发现，除了前个月外，因果关系是单向的。现货价格领先于1-6个月到期的期货价格。因此，尽管现货和滞后的期货价格是无偏估计，但我们没有找到支持期货价格提供价格发现功能的假设的支持。相反，现货价格的创新似乎会影响期货价格。这一发现在新的和不成熟的期货合约市场中并不罕见。因此，鲑鱼期货市场仍然不成熟，还没有达到期货价格能够预测未来现货价格的阶段。

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