TESTING FOR MARKET INTEGRATION AND THE LAW OF ONE PRICE IN WORLD SHRIMP MARKETS

Abstract

Using import price data from Japan, United States, and the European Union, shrimp price movements in these markets were evaluated to test if it denotes an integrated world market for shrimp. Cointegration techniques were utilized to investigate if prices in these markets share a common stochastic trend and if the law of one price holds. Results indicated a strong link amongst Japanese, American, and European markets. The results on the aggregated shrimp markets were checked against the results at a more disaggregated level. Data from wholesale markets in Tokyo, New York, and Europe for specific shrimp products confirm the integrated nature of shrimp markets. Evidence also supports the law of one price in shrimp markets.

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