Liquidity effects and FFA returns in the international shipping derivatives market
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.
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The paper entitled “What Makes the Market Jump?” written by Dr Chardin Wese Simen, in collaboration with Professor Marcel Prokopczuk, has been awarded the CFA Institute Paper Prize at the 2017 Financial Research Network Conference.
Do not panic - banks have always failed...
Research by Dr Adrian R Bell, Professor Chris Brooks and Dr Tony Moore at the University of Reading's ICMA Centre has established clear parallels between the events of King Edward I's time in the late 13th century and today's credit crunch.
New faculty members welcomed
This academic year the ICMA Centre is very pleased to welcome three new members of faculty – Dr Nadia Kappou, Ogonna Nneji and Miriam Marra.