Skip to main content

Liquidity effects and FFA returns in the international shipping derivatives market

A new paper co-authored by Nadia Kappou, ICMA Centre MSc Financial Risk Management programme director, with Amir H. Alizadeh, Dimitris Tsouknidis and Ilias Visvikis has recently been published

A new paper co-authored by Nadia Kappou, ICMA Centre MSc Financial Risk Management programme director, with Amir H. Alizadeh, Dimitris Tsouknidis and Ilias Visvikis has recently been published

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. The results have important implications for modeling freight derivatives, and consequently, for trading and risk management purposes.

The full paper is available at this link. For more information about our MSc Financial Risk Management, accredited by the Global Association of Risk Professionals (GARP), please see this link.

Published 9 March 2015
Topics:
Research news

You might also like

Students win summer graduation achievement awards

26 July 2016
Every year at graduation, students from our undergraduate and master’s courses are offered prizes and awards for their performance and contribution throughout the academic year.

Can we predict when football managers are no longer effective?

7 August 2019
As the new football season commences, the media is speculating on who will be the first manager to be sacked. Whilst economists have used their models to predict football events, academics from the ICMA Centre have developed a model to see if they could predict when a football manager is no longer being effective.
Business News

A Guide to Best Practice in the European Repo Market

6 March 2014
The ICMA have just published a guide to best practice in the European Repo Market.This important document was written by Richard Comotto, Senior Visiting Fellow at the ICMA Centre for the ICMA's European Repo Council. It represents the most comprehensive set of recommendations for trading and settlement, and codification of market conventions, in any repo market and is likely to provide a model to other markets. It will also be an essential aide to researchers, commentators and policy-makers.