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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
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