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The Impact of Electronic Clock Auction Systems on Shellfish Prices: Econometric Evidence from a Structural Change Model
Author(s) -
Guillotreau Patrice,
JiménezToribio Ramón
Publication year - 2006
Publication title -
journal of agricultural economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.157
H-Index - 61
eISSN - 1477-9552
pISSN - 0021-857X
DOI - 10.1111/j.1477-9552.2006.00063.x
Subject(s) - autoregressive model , econometrics , economics , univariate , matching (statistics) , autocorrelation , price discovery , nephrops norvegicus , vector autoregression , financial economics , computer science , fishery , statistics , multivariate statistics , mathematics , machine learning , futures contract , decapoda , crustacean , biology
Economic theory suggests that different auction systems may lead to different price equilibria under specific conditions. By changing the trading rules, the introduction of electronic clock auction systems (ECAS) on primary fish markets is likely to modify the price formation process. A relationship between the prices of live prawns (Nephrops norvegicus) in two French ports where different ECAS have been successively introduced is estimated through two univariate models and a vector autoregressive model applied to stationary weekly data series. Using a recent multiple break searching procedure (Econometrica, Vol. 66, 1998, 47; Journal of Applied Econometrics, Vol. 18, 2003, 1; Econometrics Journal, Vol. 6, 2003, 72), a single structural change matching the date of implementation is discovered in the two ports and shows a different impact partly explained by the type of auction system in force. The introduction of the Euro in January 2002 also appeared to play an influential role in the adoption of electronic clock auction markets.