Volatility spillover in seafood markets

There is a considerable body of research studying market integration in seafood, focusing on the relationship between prices. In this paper, we consider market connectedness, assessing volatility spillover between the world's three largest seafood markets, the EU, Japan and the USA, for fish and crustaceans. The data spans from 1990 to 2015, capturing a period of strong growth in the seafood trade, as both the EU and US increased their share of the global seafood trade. We find time-varying and significant spillover between all markets. The results suggest that volatility spillover originates from the net exporting market and is transmitted to the net importing markets, which is particularly evident for crustaceans, where Japan is a positive net transmitter to the EU and US. Further, we can identify several peaks in volatility spillover and relate them to events like El Niño/La Niña and to the financial crisis as a period of high volatility spillover.