Bookcover of The Forward Freight Shipping Market-A Useful Tool For Risk Management?
Booktitle:

The Forward Freight Shipping Market-A Useful Tool For Risk Management?

A study analysing the unbiasedness hypothesis, causality, forecasting performance and lead-lag relationship in shipping

Südwestdeutscher Verlag für Hochschulschriften (2011-08-25 )

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ISBN-13:

978-3-8381-2172-7

ISBN-10:
3838121724
EAN:
9783838121727
Book language:
German
Blurb/Shorttext:
Derivatives should perform two important functions. On the one hand they should be useful for risk management strategies of companies and on the other hand they should contain a price discovery role. In this book is investigated if Forward Freight Agreements (FFA's) have these features, in which areas they offer the greatest benefits to market participants and where they are not very useful. As shipping is a service and therefore not storable shipping freight indices (the Baltic Dry Index with its sub indices) form the basis where derivatives are put on. Due to a lack of data there exist very few studies investigating issues like efficiency and price discovery in international shipping markets. Most of the previous studies use an old data base where the liquidity was low which could have affected the results. In this book data of the Baltic Panamax Index from 2005 to 2010 is analysed. The main finding is that FFA’s are formed by rational expectations of the market participants and hence can be used for risk management strategies. Nonetheless information is disseminating faster in the spot than in the forward market which means that the price discovery role of FFA's is quite low.
Publishing house:
Südwestdeutscher Verlag für Hochschulschriften
Website:
https://www.svh-verlag.de
By (author) :
Peter Groder
Number of pages:
136
Published on:
2011-08-25
Stock:
Available
Category:
Economics
Price:
79.00 €
Keywords:
Risk Management, Baltic Dry Index, shipping, Hedging, Forward Freight Agreements, Derivatives, VECM, MGARCH, causality, Efficient-Market-Hypothesis, Efficient Market Hypothesis

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