The Journal of Fisheries Business Administration (수산경영론집)

The Korean Society of Fisheries Business Administration (한국수산경영학회)
권호 표지
DOI QR코드

DOI QR Code

Tests for the Structure Change and Asymmetry of Price Volatility in Farming Olive Flounder

양식 넙치가격 변동성의 구조변화와 비대칭성 검증

  • Kang, Seok-Kyu (Department of Business Administration, Jeju National University)
  • Received : 2014.07.28
  • Accepted : 2014.09.17
  • Published : 2014.09.30
Download PDF
⟨ Previous Next ⟩

Abstract

This study is to analyse the timing of the structural change of price volatility and the asymmetry of price volatility during the period before and after the timing of the structural change of price volatility using Jeju Farming Olive Flounder's production area market price data from January 1, 2007 to June 30, 2013. The analysis methods of Quandt-Andrews break point test and Threshold GARCH model are employed. The empirical results of this study are summarized as follows: First, the result of Quandt-Andrews break point test shows that a single structural change in price volatility occurred on May 4, 2010 over the sample period. Second, during the period before structural change, daily price change rate has averagely positive value which means price increase, but during the period after structural change daily price change rate has averagely negative value which means price decrease. Also, daily volatility of price change rate during the period before structural change is higher than during the period after structural change. This indicates that price volatility decreases after structural change. Third, the estimation results of Threshold GARCH Model show that the volatility response against price increase is larger during the period after structural change than during the period before structural change. Also the result shows the volatility response against price decrease is larger during the period after structural change than during the period before structural change. And, irrespective of the timing of structural change, price increase has an larger effect on volatility than price decrease. This means volatility is asymmetric at price increase.

Keywords

References

  1. Andrews, D. W. K. (1993), "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, 61 (4), 821-856. https://doi.org/10.2307/2951764
  2. Bera, A. and Jarque, C. (1980), "Efficient Tests for Normality, Heteroskedasticity, and Serial Independence of Regression Residuals," Economic Letters, 6, 225-259. https://doi.org/10.1016/0165-1765(80)90020-8
  3. Bollerslev, T. (1986), "Generalized Autoregressive Conditional Heteroskedasticity," Journal of Economaetrics, 31, 307-327. https://doi.org/10.1016/0304-4076(86)90063-1
  4. Cho, D. (2006), "Introductory Financial Econometrics," Cheogram, 343-344.
  5. Engle, R. F. (1982), "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, 55, 987-1007.
  6. Glosten, L. R., Jagannathan, R. and Runkel, D. E. (1993), "On the relation between the expected value and volatility of nominal excess return on stocks," The Journal of Finance, 48, 1779-1801. https://doi.org/10.1111/j.1540-6261.1993.tb05128.x
  7. Hansen, B. E. (1997), "Approximate Asymptotic p Value for Structural Change Tests," Journal of Business & Economic Statistics, 15 (1), 60-67.
  8. Hwang, E. S. and Ahn, B. I. (2012), "Analyses on the Characteristics of the Trend and Volatility of the Major Fruits and Vegetables," Korean Journal of Agriculture Economic, 53 (3), 1-21.
  9. Kang, S. K. (2013), The Plan of Stabilizing Price through the Regulation of Shipments of Cultured Fishery Products: Focused on Jeju Faming Halibut, National Federation of Fisheries Cooperatives Fisheries Economic Institute.
  10. Kang, S. K. (2013), "The Impact of the Yen Carry Trade on the Korea Stock Price Volatility: Focused on Global Financial Crisis," The Korean Journal of Financial Management, 30 (4), 65-85.
  11. Kim, S. H., Seung, M. H. and Yoon, B. S. (2012), "Test for the Structural Changes in Volatility of International Grain Prices," Journal of Rural Development, 35 (1), 29-48.
  12. Ko, B. H. (2009), "Price Volatility, Seasonality and Dayof- the-Week Effect for Aquacultural Fishes in Korean Fishery Markets," The Journal of Fisheries Business Administration, 40 (2), 49-70.
  13. MOF (2012), Fisheries Production Statistics, Ministry of Oceans and Fisheries.
  14. Yoon, B. S. (2008), "Price Volatility, Seasonality and Day-of-the-Week Effect in Meat Markets," Korean Journal of Agricultural Management and Policy, 35 (1), 21-38.