Please use this identifier to cite or link to this item: https://ktisis.cut.ac.cy/handle/10488/14624
Title: Liquidity effects and FFA returns in the international shipping derivatives market
Authors: Alizadeh, Amir H.
Kappou, Konstantina
Tsouknidis, Dimitris 
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
https://api.elsevier.com/content/abstract/scopus_id/84923927914
2-s2.0-84923927914
https://api.elsevier.com/content/abstract/scopus_id/84923927914
2-s2.0-84923927914
13665545
https://api.elsevier.com/content/abstract/scopus_id/84923927914
2-s2.0-84923927914
https://api.elsevier.com/content/abstract/scopus_id/84923927914
DOI: 10.1016/j.tre.2015.02.001
Rights: © 2015 Elsevier Ltd
Type: Article
Appears in Collections:Άρθρα/Articles

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