Liquidity Effects and FFA Returns in the International Shipping Derivatives Market
| dc.contributor.author | Alizadeh, A. | * |
| dc.contributor.author | Kappou, K. | * |
| dc.contributor.author | Tsouknidis, Dimitris A. | * |
| dc.contributor.author | Visvikis, I. | * |
| dc.date.accessioned | 2015-04-22T15:51:02Z | |
| dc.date.available | 2015-04-22T15:51:02Z | |
| dc.date.issued | 02/02/2015 | |
| dc.identifier.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 | en_US |
| dc.identifier.uri | http://hdl.handle.net/10454/7165 | |
| dc.description | Yes | |
| dc.description.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. | en_US |
| dc.language.iso | en | en_US |
| 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.2015.02.001 | en_US |
| dc.subject | Forward freight agreements | |
| dc.subject | Liquidity risk | |
| dc.subject | Bid-ask spreads | |
| dc.subject | Shipping | |
| dc.subject | Panel data | |
| dc.title | Liquidity Effects and FFA Returns in the International Shipping Derivatives Market | en_US |
| dc.status.refereed | Yes | |
| dc.type | Article | |
| dc.type.version | Accepted manuscript | |
| dc.identifier.doi | https://doi.org/10.1016/j.tre.2015.02.001 | |
| refterms.dateFOA | 2018-07-19T14:00:00Z | |
| dc.openaccess.status | openAccess |
