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

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  • Dengjun Zhang
  • Oystein Myrland
  • Jinghua Xie

Abstract

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 is 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 prices¡¯ responses to commodity price.

Suggested Citation

  • Dengjun Zhang & Oystein Myrland & Jinghua Xie, 2016. "Firm Size, Commodity Price, and Interdependence Between Firm-Level Stock Prices: The Case of Norwegian Salmon Industry," Applied Economics and Finance, Redfame publishing, vol. 3(4), pages 179-189, November.
    • Handle: RePEc:rfa:aefjnl:v:3:y:2016:i:4:p:179-189
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    References listed on IDEAS

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    4. Rumi Masih & A. Mansur & M. Masih, 2004. "Common stochastic trends and the dynamic linkages driving european stock markets: evidence from pre- and post-october 1987 crash eras," The European Journal of Finance, Taylor & Francis Journals, vol. 10(1), pages 81-104.
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    Cited by:

    1. Misund, Bård, 2018. "Common and fundamental risk factors in shareholder returns of Norwegian salmon producing companies," Journal of Commodity Markets, Elsevier, vol. 12(C), pages 19-30.
    2. Itemgenova, Aigerim & Sikveland, Marius, 2020. "The determinants of the price-earnings ratio in the Norwegian aquaculture industry," Journal of Commodity Markets, Elsevier, vol. 17(C).

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    More about this item

    Keywords

    stock price; commodity price; salmon; interdependence; cointegration;
    All these keywords.

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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