AUEB Library - Digital Repository

PYXIDA Institutional Repository
and Digital Library

Username
Password

Collections :	Ιδρυματικό Αποθετήριο ΟΠΑ / AUEB Institutional Repository Σχολή Διοίκησης Επιχειρήσεων / School of Business Τμήμα Λογιστικής και Χρηματοοικονομικής / Department of Accounting and Finance Μεταπτυχιακές Εργασίες / Postgraduate dissertations

Title :	Efficiency of Forward Freight Agreements: the “Unbiasedness Hypothesis"

Creator :	Liokis, Dimitrios

Contributor :	Kavussanos, Manolis (Επιβλέπων καθηγητής) Athens University of Economics and Business, Department of Accounting and Finance (Degree granting institution)

Type :	Text

Extent :	65p.

Language :	en

Abstract :	This paper investigates the “Unbiasedness Hypothesis” of Forward Freight Agreement (FFA) testing the hypothesis for dry-bulk FFAs of individual routes P2A, P3A, C4 and C7 one, two and three month prior to their maturity. Capesize 4TC, Panamax 4TC and Supramax 6TC are also investigated. A VECM is estimated by using the framework introduced by Johanssen (1988) to test for cointegration. Unbiasedness is tested by putting the necessary restrictions in the cointegrating vector and using the statistic introduced by Juselius and Johansen (1990). Unbiased FFAs are a free source of information about the expected future spot prices, being beneficial to any economic agent exposed to the freight market.

Abstract :

This paper investigates the “Unbiasedness Hypothesis” of Forward Freight Agreement (FFA) testing the hypothesis for dry-bulk FFAs of individual routes P2A, P3A, C4 and C7 one, two and three month prior to their maturity. Capesize 4TC, Panamax 4TC and Supramax 6TC are also investigated. A VECM is estimated by using the framework introduced by Johanssen (1988) to test for cointegration. Unbiasedness is tested by putting the necessary restrictions in the cointegrating vector and using the statistic introduced by Juselius and Johansen (1990). Unbiased FFAs are a free source of information about the expected future spot prices, being beneficial to any economic agent exposed to the freight market.

Subject :	Market efficiency Forward Freight Agreement (FFA) Unbiasedness Hypothesis

Date :	31-12-2012

Licence :

File: Liokis_2012.pdf

Type: application/pdf

Login