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

Two staff gain academic promotions

11 June 2012
The ICMA Centre is very proud to be able to announce the recent promotions of two of our academic staff.

PhD Student Satchit Sagade published in Bank of England Working Paper

17 December 2012
ICMA Centre PhD student Satchit Sagade recently published a working paper for the Bank of England together with Research Economist for the Bank of England, Evangelos Benos. The paper entitled “High-frequency trading behaviour and its impact on market quality: evidence from the UK equity market”, studies the behaviour of high-frequency traders in the UK equity market and analyses its impact on market quality.
Research news

The LIBOR/ TIBOR ‘Scandal’

12 February 2013
The large fine imposed on RBS last week suggests that a ‘scandal’ took place in the banking world over the setting of LIBOR. Yes – there was probably systematic mis-pricing of LIBOR which enabled some traders and some banks to profit at the expense of others. But the LIBOR issue simply highlights a much wider problem in financial markets which is that many ‘prices’ quoted in markets are not market prices at all. Instead they are prices based on computer models, matrix pricing or sheer guesswork, which may or may not produce ‘accurate’ prices. The reason for using computers models and guesswork is that in many financial products there actually are no transactions at all or very few even over periods of some weeks or months and thus no market prices.