논문 상세보기

소비 대체 양식어종 간의 가격 인과성과 변동성 전이에 관한 연구 KCI 등재

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

  • 언어KOR
  • URLhttps://db.koreascholar.com/Article/Detail/311285
구독 기관 인증 시 무료 이용이 가능합니다. 4,000원
水産經營論集 (수산경영론집)
한국수산경영학회 (The Fisheries Business Administration Society Of Korea)
초록

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.

목차
Ⅰ. 서 론
Ⅱ. 표본자료 및 연구방법론
Ⅲ. 연구방법론
Ⅳ. 실증분석
Ⅴ. 요약 및 결론
REFERENCES
저자
  • 강석규(제주대학교 경영학과) | Seok-Kyu Kang Corresponding author