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

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

The rise of the Coach in the English Premier League

18 January 2019
Could the number of hugs given to players be the main difference between the popularity of Jose Mourinho and Jurgen Klopp? Despite the limitations in the Manager's authority defined by the club, Klopp enthusiastically displays the people management elements of the Coach.
Business News

British Steel and Brexit

24 May 2019
As a global industry, steel prices and exports have been falling as demand decreases. Whilst the media reports on British Steel have focused on job losses, Brexit-related issues have played a greater role on its sudden demise.
Business News

New BSc in Finance and Management with Venice: Premium Degree at a Competitive Price

6 November 2014
The University of Reading and Henley Business School’s commitment to increasing student mobility internationally has led to the launch of a new BSc in Finance and Management in collaboration with the University of Venice starting in September 2015.