Economic Information Transmissions Between Shipping Markets

Released on by George Alexandridis
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  • Economic Information Transmissions Between Shipping Markets Book Detail

  • Author : George Alexandridis
  • Release Date : 2016
  • Publisher :
  • Genre :
  • Pages :
  • ISBN 13 :
  • File Size : 58,58 MB
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Economic Information Transmissions Between Shipping Markets by George Alexandridis PDF Summary

Book Description: Economic return and volatility spillovers of derivatives markets on a number of assets have been extensively examined in the general economics literature. However, there are only a limited number of studies that investigate such interactions between freight rates and the freight futures, and no studies that also consider potential linkages with freight options. This study fills this gap by investigating the economic spillovers between time-charter rates, freight futures and freight options prices in the dry-bulk sector of the international shipping industry. Empirical results indicate the existence of significant information transmission in both returns and volatilities between the three related markets, which we attribute to varying trading activity and market liquidity. The results also point out that, consistent with theory, the freight futures market informationally leads the freight rate market, though surprisingly, freight options lag behind both futures and physical freight rates, thus not fulfilling their price discovery function. The documented three-way economic interactions between the related markets can be used to enhance budget planning and risk management strategies, potentially attract more investors, and thus, improve the liquidity of the freight derivatives market.

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