Investigating spatial integration of the Caspian Sea’s bony fish markets; Practical approach of the seasonal co-integration of in monthly data

Rafiee, Hamed; Yazdani, Saeed; Hosseini, Seyed Safdar; Chizari, Amirhossein; Salehi, Hasan

Investigating spatial integration of the Caspian Sea’s bony fish markets; Practical approach of the seasonal co-integration of in monthly data

Document Type : Research Paper

Authors

Hamed Rafiee

Saeed Yazdani

Seyed Safdar Hosseini

Amirhossein Chizari

Hasan Salehi

Abstract

Investigation of spatial integration (convergence) as an indicator of the efficiency of markets and test of Law of One Price (LOP) in these markets، in the literature of market structure is very important. Seasonal nature of the monthly price series provides different conditions. Therefore in this study spatial integration of Marine Bony fish markets in Guilan and Mazandaran at least 120 months during 2001:1 to 2010:12 will be investigated. Given that fishing season is from October to late April، for the remaining five months (May to September) has been used from registered prices by Iranian Fisheries Organization. In this study a new approach of investigating seasonal unit root and estimating the Seasonal Error Correction Model (SECM) have been used. The results show that there is seasonal co-integration in types of fish market and spatial markets in two provinces of Mazandaran and Guilan obey from LOP. Therefore this long-term seasonal dynamics in error correction calculations and forecasting future situation of price behavior in the fish markets must be considered. Otherwise، price policy and market planning in order to achieve suitable spatial efficiency in the long run will fail.

Keywords

seasonal unit root

Seasonal Co

Integration

Spatial Convergence