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Liquidity Effects and FFA Returns in the International Shipping Derivatives Market
Alizadeh, A. Kappou, K. Tsouknidis, Dimitris A. Visvikis, I.
Alizadeh, A.
Kappou, K.
Tsouknidis, Dimitris A.
Visvikis, I.
Publication Date
02/02/2015
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© 2015 Elsevier. This is the author’s version of a work that
was accepted for publication in Transportation Research Part E. Changes
resulting from the publishing process, such as peer review, editing, corrections,
structural formatting, and other quality control mechanisms may not be reflected
in this document. Changes may have been made to this work since it was
submitted for publication. A definitive version was subsequently published in
Transportation Research Part E: Logistics and Transportation Review, 76 (April):
58-75. http://dx.doi.org/10.1016/j.tre.2015.02.001
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Abstract
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.
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Accepted manuscript
Citation
Alizadeh, A., Kappou, K., 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 (April): 58-75
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Article