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Determinants of ship management revenues : the case of Cyprus
Michail, Nektarios; Melas, Konstantinos D.; Louca, … - In: Economies : open access journal 11 (2023) 7, pp. 1-12
We explore, for the first time in the literature, how the revenues of ship management companies respond to macroeconomic exogenous shocks. Using data for ship-management companies in Cyprus, we find evidence that a demand shock has the largest impact on revenues, exhibiting an almost one-for-one...
Persistent link: https://www.econbiz.de/10014321493
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Liquidity effects and FFA returns in the international shipping derivatives market
Alizadeh-Masoodian, Amir H.; Kappou, Konstantina; … - In: Transportation research / E : an international journal 76 (2015), pp. 58-75
Persistent link: https://www.econbiz.de/10010518610
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Market Interaction in Returns and Volatilities between Spot and Forward Shipping Freight Markets
Visvikis, Ilias; Kavussanos, Manolis G. - 2014
Freight Agreements (FFA) to investigate the issue. The underlying commodity is non-storable, being that of a shipping service …
Persistent link: https://www.econbiz.de/10014206215
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Liquidity Risk Premia in the International Shipping Derivatives Market
Alizadeh, Amir; Kappou, Konstantina; Tsouknidis, Dimitris; … - Henley Business School, University of Reading - 2014
The study examines the existence of liquidity risk premia on freight derivatives returns. The Amihud liquidity ratio … and bid-ask spreads are utilized to assess the existence of liquidity premia. 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 …
Persistent link: https://www.econbiz.de/10011210427
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Quantifying the Relationship Between Seaborne Trade and Shipping Freight Rates : A Bayesian Vector Autoregressive Approach
Michail, Nektarios; Melas, Konstantinos D. - 2021
We employ a Bayesian Vector Autoregressive methodology, to counter the issue of data availability, and explore the relationship between seaborne commodity trade and freight rates. Our results show three important insights: first and foremost, the quantity of seaborne commodity trade has a strong...
Persistent link: https://www.econbiz.de/10013250889
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Volatility Forecasting Across Tanker Freight Rates : The Role of Oil Price Shocks
Gavriilidis, Konstantinos - 2019
This paper examines whether the inclusion of oil price shocks of different origin as exogenous variables in a wide set of GARCH-X models improves the accuracy of their volatility forecasts for spot and 1-year time-charter tanker freight rates. Kilian's (2009) oil price shocks of different origin...
Persistent link: https://www.econbiz.de/10012893144
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The Impact of Central Clearing on Counterparty Risk, Liquidity, and Trading : Evidence from the Credit Default Swap Market
Loon, Yee Cheng - 2013
improvement in liquidity and trading activity …
Persistent link: https://www.econbiz.de/10013089648
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The Impact of Futures Trading on Intraday Spot Volatility and Liquidity : Evidence from Bitcoin Market
Shi, Shimeng - 2018
This study uses high-frequency data to examine the impact of Bitcoin futures trading on volatility and liquidity of the … becomes more liquid in the post-futures trading period. The results are robust to different volatility and liquidity proxies … volatility and improving the spot market liquidity …
Persistent link: https://www.econbiz.de/10012931285
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Derivatives and Market (Il)liquidity
Huang, Shiyang; Yueshen, Bart Z.; Zhang, Cheng - 2021
trades affect investors’ utility differently, possibly amplifying liquidity risk. As investors delta hedge their derivative …We study how derivatives (with nonlinear payoffs) affect the liquidity of the underlying asset. In a rational … expectations equilibrium, informed investors expect low conditional volatility and sell derivatives to the others. These derivative …
Persistent link: https://www.econbiz.de/10013212433
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Futures Market Liquidity During the Financial Crisis
Furfine, Craig - 2012
This paper examines how liquidity in two actively traded futures markets was affected by the recent financial crisis … withdrawal of liquidity from Eurodollar futures markets, yet a far more muted response in the S&P 500 index futures contract. A … deeper investigation into high-frequency trading strategies finds that prior to the crisis, liquidity additions and …
Persistent link: https://www.econbiz.de/10013116793