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Liquidity Effects and FFA Returns in the International Shipping Derivatives MarketAlizadeh, A., Kappou, K., Tsouknidis, Dimitris A., Visvikis, I. 02 February 2015 (has links)
yes / 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.
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