Accessibility navigation


Liquidity effects and FFA returns in the international shipping derivatives market

Alizadeh, A. H., Kappou, K. ORCID: https://orcid.org/0000-0002-5047-8104, Tsouknidis, D. and Visvikis, I. (2015) Liquidity effects and FFA returns in the international shipping derivatives market. Transportation Research Part E: Logistics and Transportation Review, 76. pp. 58-75. ISSN 1366-5545

[img]
Preview
Text - Accepted Version
· Please see our End User Agreement before downloading.

981kB

It is advisable to refer to the publisher's version if you intend to cite from this work. See Guidance on citing.

To link to this item DOI: 10.1016/j.tre.2015.02.001

Abstract/Summary

The study examines the impact of liquidity risk on freight derivatives returns. The Amihud liquidity ratio and bid–ask spreads are utilized to assess the existence of liquidity risk in the freight derivatives market. Other macroeconomic variables are used to control for market risk. Results indicate that liquidity risk is priced and both liquidity measures have a significant role in determining freight derivatives returns. Consistent with expectations, both liquidity measures are found to have positive and significant effects on the returns of freight derivatives. The results have important implications for modeling freight derivatives, and consequently, for trading and risk management purposes.

Item Type:Article
Refereed:Yes
Divisions:Henley Business School > ICMA Centre
ID Code:39474
Uncontrolled Keywords:Forward freight agreements; Liquidity risk; Bid–ask spreads; Shipping; Panel data
Publisher:Elsevier

Downloads

Downloads per month over past year

University Staff: Request a correction | Centaur Editors: Update this record

Page navigation