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dc.contributor.authorAlizadeh, A.
dc.contributor.authorKappou, K.
dc.contributor.authorTsouknidis, Dimitris A.
dc.contributor.authorVisvikis, I.
dc.date.accessioned2015-04-22T15:51:02Z
dc.date.available2015-04-22T15:51:02Z
dc.date.issued2015-02-02
dc.identifier.citationAlizadeh, 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): 58-75en_US
dc.identifier.urihttp://hdl.handle.net/10454/7165
dc.descriptionyesen_US
dc.description.abstractThe 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.en_US
dc.language.isoenen_US
dc.relation.isreferencedbyhttp://dx.doi.org/10.1016/j.tre.2015.02.001
dc.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.2015.02.001en_US
dc.subjectForward freight agreementsen_US
dc.subjectLiquidity risken_US
dc.subjectBid-ask spreadsen_US
dc.subjectShippingen_US
dc.subjectPanel dataen_US
dc.titleLiquidity Effects and FFA Returns in the International Shipping Derivatives Marketen_US
dc.status.refereedYesen_US
dc.typeArticleen_US
dc.type.versionfinal draft paperen_US
refterms.dateFOA2018-07-19T14:00:00Z


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