This paper investigates the lead-lag relationship in daily returns and volatilities between price movements of stock index futures and the underlying cash index in the FTSE/ASE-20 and FTSE/ASE Mid-40 markets of the Athens Stock Exchange. Empirical results confirm previous findings that there is...

In previous issues we anticipated a permanent 50-100% increase in dry cargo and tanker values and time charter rates. These adjustments have already occurred. We now see prices and rates oscillating, over the next 10 years, around much higher levels than those of the recent depression but...

The purpose of the paper is to examine the effects of different trading systems, the open outcry and the electronic systems, which differ in the speed of dissemination of order flow information, on the relation between trading activity and conditional volatility, on the probability distribution...

The paper investigates the dynamics of price changes and information flow to the market in the Athens Stock Exchange in Greece using daily data over the period 1988 to 1993. A generalised autoregressive conditional heteroskedastic (GARCH) model in stock returns is shown to reflect time...

This paper investigates the causal relationship between futures and spot prices in the freight futures market. Being a thinly traded market whose underlying asset is a service, sets it apart from other markets investigated so far in the literature. Causality tests, generalised impulse response...

This paper investigates the issue of market risk quantification for emerging and developed market equity portfolios. A very wide spectrum of popular and widely used in practice Value at Risk (VaR) models are evaluated and compared with Extreme Value Theory (EVT) and adaptive filtered models,...

The estimation of medium-term market risk dictated by limited data availability, is a challenging issue of concern amongst academics and practitioners. This paper addresses the issue by exploiting the concepts of volatility and quantile scaling in order to determine the best method for...

This paper investigates the causal relationship between futures and spot prices in the freight futures market. Being a thinly traded market whose underlying asset is a service, sets it apart from other markets investigated so far in the literature. Causality tests, generalised impulse response...

The paper investigates the dynamics of price changes and information flow to the market in the Athens Stock Exchange in Greece using daily data over the period 1988 to 1993. A generalized autoregressive conditional heteroskedastic (GARCH) model in stock returns is shown to reflect time...

The International Handbook of Shipping Finance is a one-stop resource, offering comprehensive reference to theory and practice in the area of shipping finance. In the multibillion dollar international shipping industry, it is important to understand the various issues involved in the finance of...