In this paper we test for the presence of fractional integration in the Greek fisheries and aquaculture prices. Using Autoregressive Fractionally Integrated Moving Average (ARFIMA) models, we investigate the long memory property in the daily prices of the main species landed into Piraeus. The results show strong evidence of long memory for six species, namely Anchovy, Hake, Picarel, Seabass, Sardine, and Seabream. Only Bogue shows a weak evidence of long memory. It is concluded that most series are long-term dependent, indicating market inefficiency and a high degree of predictability.
|Number of pages||7|
|Journal||European Journal of Social Sciences|
|Publication status||Published - 2008|