Dynamics and interactions between spot and forward freights in the dry bulk shipping market

Yin, Jingbo; Luo, Meifeng; Fan, Lixian

doi:10.1080/03088839.2016.1253884

Cited by 45 publications

(17 citation statements)

References 21 publications

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“…Alexandridis et al (2017) investigate the lead-lag relationships between FFAs, freight options and the physical market and find that freight futures market informationally leads the physical spot rates. Yin et al (2017) identify the long-run and mutual causal relationship between the spot and FFA prices in a VAR and VECM framework and find that cointegration as well as exogeneous factors such as market demand and supply are dominating in their long-run dynamics. In related work, Alizadeh et al (2004) studied the efficiency of hedging marine bunker price fluctuations using different crude oil and petroleum futures contracts.…”

Section: Literature Reviewmentioning

confidence: 99%

Hedging ship price risk using freight derivatives in the drybulk market

2019

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We show that a fixed-maturity time-weighted Forward Freight Agreement (FFA) portfolio should be used to proxy the expected future earnings of a vessel. We investigate the corresponding hedging efficiency when using a portfolio of FFA prices to hedge ship price risk of both static hedge ratios calculated using Ordinary Least Squares estimation and the dynamic hedge ratios generated from a dynamic conditional correlation GARCH (1,1) model. We find that the hedging efficiency is greater for newer vessels than older vessels and that the static hedge ratio outperforms the dynamic hedge ratio. Our work is an extension of earlier empirical work which has only considered the hedging efficiency of varying-maturity calendar FFA contracts for a single vessel age.

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Section: Literature Reviewmentioning

confidence: 99%

Hedging ship price risk using freight derivatives in the drybulk market

2019

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“…For instance, Yin, Luo and Fan (2016) use the volume of coal and iron ore from trade data as a demand proxy for regional freight rates in the Capesize drybulk market. In general, any research that deals with market fundamentals, such as the study by Kagkarakis, Merikas and Merika (2016) on demolition market dynamics, could benefit from AIS-derived tonne-mile demand data (see, Shi and Li, 2016, for a comprehensive review of the recent maritime transport literature).…”

Section: Literature Reviewmentioning

confidence: 99%

Are AIS-based trade volume estimates reliable? The case of crude oil exports

Ådland

Jia

Strandenes

2017

Maritime Policy & Management

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Most global trade statistics in the public domain refer to official customs data, which are not generally available on a micro (individual cargo) level. With the increasing availability and completeness of ship positioning data from the global Automated Identification System (AIS), it is possible to derive more timely and detailed trade statistics for homogeneous commodity groups. The objective of this paper is twofold: 1) to compare the accuracy of AIS-derived trade statistics to official customs data in the crude oil market and 2) to add a breakdown of trade by vessel size over time. We find that while AIS-derived data for seaborne crude exports show good alignment with official export numbers in aggregate, there are substantial temporal and geographical differences across countries and time due to the use of pipelines and transshipment in parts of the supply chain. We highlight the challenges in properly structuring and aggregating micro-level cargo data. Our findings are important for the proper derivation of shipping demand from trade data.

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“…Specifically, the freight futures market leads fluctuations observed in the freight rate market, but freight options are shown to lag behind both the spot and futures freight markets. Yin, et al (2017) explore the causality relationships between spot and futures freight markets for the dry bulk segment, along with the effects of exogenous factors, such as, market demand and supply forces, and economic indices. In all cases, the results document that freight rates follow a mean-reverting process which adjusts to long-run equilibrium levels.…”

Section: Price Discovery Economic Market Relationships and Forecast mentioning

confidence: 99%

A survey of shipping finance research: Setting the future research agenda

Alexandridis

Kavussanos

Kim

et al. 2018

Transportation Research Part E: Logistics and Transportation Re

110

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Financing shipping related investment projects has always been a focal area of debate and research within the international maritime industry since access to funding can determine the competitiveness of a capitalintensive business as well as its success or failure under adverse market conditions. This paper provides, for the first time, a comprehensive and structured survey of all published research in the area of shipping finance and investment. The review spans approximately four decades (1979-2018) of empirical evidence, including 162 studies published in 48 scholarly journals, complemented with select books and book chapters. The study provides a bibliometric analysis and comprehensive synthesis of existing research offering an invaluable source of information for both the academic community and business practice, shaping the future research agenda in shipping finance and investment. JEL Code: G10, G20, G30.

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Dynamics and interactions between spot and forward freights in the dry bulk shipping market

Cited by 45 publications

References 21 publications

Hedging ship price risk using freight derivatives in the drybulk market

Hedging ship price risk using freight derivatives in the drybulk market

Are AIS-based trade volume estimates reliable? The case of crude oil exports

A survey of shipping finance research: Setting the future research agenda

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