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Firm Size, Commodity Price, and Interdependence between Firm-Level Stock Prices: The Case of Norwegian Salmon Industry

Permanent lenke
https://hdl.handle.net/10037/10480
DOI
https://doi.org/10.11114/aef.v3i4.1864
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Dato
2016-09-08
Type
Journal article
Tidsskriftartikkel
Peer reviewed

Forfatter
Zhang, Dengjun; Myrland, Øystein; Xie, Jinghua
Sammendrag
This study aims to investigate the interdependence between stock prices of salmon firms listed at Oslo Stock Exchange and to evaluate how this correlation is affected by firm size and salmon commodity price. Technically, we apply the Johansen’s approach (Johansen, 1991) to test cointegration between stock prices and between individual stock prices and commodity price. The time path of the long-run relationship is further examined by recursive estimations. During the sample period, we fail to confirm a common stochastic trend between the stock prices of salmon firms. This can partly explained by the various responses of firm-level stock prices to the leading firm’ stock price, depending on firm size. This may also relate to the differences between salmon stock firms’ responses to commodity price.
Beskrivelse
Published version. Source at https://doi.org/10.11114/aef.v3i4.1864
Forlag
Redfame Publishing
Sitering
Zhang D, Myrland ØM, Xie J. Firm Size, Commodity Price, and Interdependence between Firm-Level Stock Prices: The Case of Norwegian Salmon Industry. Applied Economics and Finance. 2016;3(4):179-189
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