Spatial integration of the Caspian Sea bony fish market: An application of the seasonal co-integration approach to monthly data

Analysis of spatial integration (co-integration) will make an important contribution to the literature of market structure. The analysis presents an index of spatial markets' efficiency and tests law of one price in the fish markets of Guilan and Mazandaran. The seasonal and monthly nature of price series creates fluctuating market conditions. So this study was done to investigate spatial integration of markets for different types of marine bony fish in Guilan and Mazandaran over a period of 120 months from 2001:1 to 2010:12. Given that the fishing season is from October to late April, all prices of illegal fishing registered in the Iran Fisheries Organization were used for the remaining five months (May to September). The modern approach of analyzing seasonal unit roots and estimating Seasonal Error Correction Model (SECM) was used in the study. Results showed that there has been seasonal co-integration in markets for different types of bony fish and spatial markets obeyed law of one price in both Mazandaran and Guilan. Therefore, this long run seasonal dynamics approach needs to be considered in error correction computations and finally forecasting and policymaking for future situation in the various fish markets. Otherwise, price policy and market planning will fail to achieve appropriate efficiency in terms of spatial markets in the long-term.