The Unbiasedness Hypothesis in the Freight Forward Market: Evidence from Cointegration Tests |
| |
| Authors: | Email author" target="_blank">Manolis?G?KavussanosEmail author Ilias?D?Visvikis David?Menachof |
| |
| Institution: | (1) Athens University of Economics and Business, 76 Patission St, TK 104 34 Athens, Greece;(2) University of Piraeus, Department of Maritime Studies, 80 Karaoli & Dimitriou St, 185 34 Piraeus, Greece;(3) Cass Business School, City University, 106 Bunhill Row, EC1Y 8TZ London, UK |
| |
| Abstract: | The current paper investigates the unbiasedness hypothesis of Forward Freight Agreement (FFA) prices in the freight over-the-counter (OTC) forward market trades. Cointegration techniques are employed to examine the hypothesis. The results indicate that: FFA prices one and two months before maturity are unbiased predictors of the realised spot freight rates for all investigated shipping routes; three months FFA prices for panamax Pacific routes are unbiased predictors of spot prices, while FFA prices for panamax Atlantic routes are found to be biased predictors of spot prices. This diverse evidence suggests that the validity of the unbiasedness hypothesis depends on the specific characteristics of the market under investigation, the selected trading route and the time to maturity of the contract.
JEL classification G13, G14, C32 |
| |
| Keywords: | forward markets cointegration unbiasedness shipping |
| 本文献已被 SpringerLink 等数据库收录！ |
|
