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Multiple Inference and Market Integration: An Application to Swedish Fish Markets

Blomquist, Johan LU (2015) In Journal of Agricultural Economics 66(1). p.221-235
Abstract
This paper, in contrast to earlier studies, tests market integration using a methodology that accounts for the multiplicity problem inherent in testing several time series. This method minimises the risk of finding spurious evidence of market integration. We examine market integration among 12 fish species in Sweden by applying cointegration tests, which identify market integration for two separate clusters of species. Furthermore, we find that the Law of One Price holds for 6 of the 12 species considered.
Please use this url to cite or link to this publication:
author
organization
publishing date
type
Contribution to journal
publication status
published
subject
keywords
cointegration, familywise error rate (FWER), fish prices, law of one, price, market integration, multiple inference, multiplicity problem and, curse of dimensionality
in
Journal of Agricultural Economics
volume
66
issue
1
pages
221 - 235
publisher
Wiley-Blackwell
external identifiers
  • wos:000347706900011
  • scopus:84920878805
  • scopus:85027956664
ISSN
1477-9552
DOI
10.1111/1477-9552.12084
language
English
LU publication?
yes
id
3709c7b6-c62c-4900-8d7b-efba5b62c60f (old id 5069144)
date added to LUP
2015-02-25 13:59:47
date last changed
2017-09-25 12:30:06
@article{3709c7b6-c62c-4900-8d7b-efba5b62c60f,
  abstract     = {This paper, in contrast to earlier studies, tests market integration using a methodology that accounts for the multiplicity problem inherent in testing several time series. This method minimises the risk of finding spurious evidence of market integration. We examine market integration among 12 fish species in Sweden by applying cointegration tests, which identify market integration for two separate clusters of species. Furthermore, we find that the Law of One Price holds for 6 of the 12 species considered.},
  author       = {Blomquist, Johan},
  issn         = {1477-9552},
  keyword      = {cointegration,familywise error rate (FWER),fish prices,law of one,price,market integration,multiple inference,multiplicity problem and,curse of dimensionality},
  language     = {eng},
  number       = {1},
  pages        = {221--235},
  publisher    = {Wiley-Blackwell},
  series       = {Journal of Agricultural Economics},
  title        = {Multiple Inference and Market Integration: An Application to Swedish Fish Markets},
  url          = {http://dx.doi.org/10.1111/1477-9552.12084},
  volume       = {66},
  year         = {2015},
}