Asymmetric price volatility spillover between capture fisheries and aquaculture markets

The recent growth and development of aquaculture industry in Bangladesh demand a thorough investigation of price volatility spillover pattern among capture fisheries and aquaculture products. Utilizing nationally representative monthly retail price data of the last seventeen years, we identify the evidence of volatility spillover effects among capture fisheries and aquaculture markets. We find three phases of fish price movements: (1) fish prices, in general, were increasing prior to 2013 with higher fluctuations and structural breaks; (2) prices were comparatively stable from 2013 to 2019 for almost all markets with sporadic shocks; (3) increasing trajectory of fish prices are observed during the COVID-19 period. We also find that all the aquaculture products have significant direct or indirect long-run volatility spillover effect to capture fish market. We identify only one aquaculture product with a significant positive own price asymmetric effect indicating negative news increases the price volatility behavior in its own market. Our findings may play a vital role in implementing suitable food security policies and reducing overexploitation of natural resources. Policies promoting fish price stability should prioritize tilapia and pangasius markets, and targeted investments in the aquaculture industry should be made to promote greater stability in the fisheries and aquaculture market.