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|Title:||Liquidity effects and FFA returns in the international shipping derivatives market||Authors:||Alizadeh, Amir H.
Visvikis, Ilias D.
|Keywords:||Bid-ask spreads;Forward freight agreements;Liquidity risk;Panel data;Shipping||Category:||Economics and Business||Field:||Social Sciences||Issue Date:||Apr-2015||Source:||Transportation Research Part E: Logistics and Transportation Review Volume 76, April 01, 2015, Pages 58-75||Journal:||Transportation Research Part E: Logistics and Transportation Review||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:||https://ktisis.cut.ac.cy/handle/10488/14624||ISSN:||2-s2.0-84923927914
|DOI:||10.1016/j.tre.2015.02.001||Rights:||© 2015 Elsevier Ltd||Type:||Article|
|Appears in Collections:||Άρθρα/Articles|
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