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    Liquidity Effects and FFA Returns in the International Shipping Derivatives Market

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    Alizadeh Kappou Tsouknidis Visvikis 2015.pdf (1.047Mb)
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    Publication date
    2015-02-02
    Author
    Alizadeh, A.
    Kappou, K.
    Tsouknidis, Dimitris A.
    Visvikis, I.
    Keyword
    Forward freight agreements
    Liquidity risk
    Bid-ask spreads
    Shipping
    Panel data
    Rights
    © 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
    Peer-Reviewed
    Yes
    
    Metadata
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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.
    URI
    http://hdl.handle.net/10454/7165
    Version
    final draft paper
    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
    Link to publisher’s version
    http://dx.doi.org/10.1016/j.tre.2015.02.001
    Type
    Article
    Collections
    Management and Law Publications

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