Dynamic spillover effects among derivative markets in tanker shipping

This paper examines the dynamic spillover effects among derivative markets in tanker shipping. Results indicate that dynamic cross-market interactions have significant impact on the direction and magnitude of risk exposures. While crude oil futures are the main information transmitter to the other two derivative markets, bunker futures also serve in a buffering role, as simultaneous transmitter and receiver. The response of the dirty and clean tanker forward freight agreements (FFAs) to oil shocks varies according to market conditions. The results provide market participants with useful early warning signs of sharp market shocks and crises.

• Record URL:
  • https://doi.org/10.1016/j.tre.2018.12.018
• Record URL:
  • http://www.sciencedirect.com/science/article/pii/S136655451830560X
• Availability:
  • Find a library where document is available. Order URL: http://worldcat.org/issn/13665545
• Supplemental Notes:
  • © 2018 Elsevier Ltd. All rights reserved. Abstract reprinted with permission of Elsevier.
• Authors:
  • Sun, Xiaolin
  • Haralambides, Hercules
  • Liu, Hailong
• Publication Date: 2019-2

Language

• English

Media Info

• Media Type: Web
• Features: Appendices; Figures; References; Tables;
• Pagination: pp 384-409
• Serial:
  • Transportation Research Part E: Logistics and Transportation Review
  • Volume: 122
  • Issue Number: 0
  • Publisher: Elsevier
  • ISSN: 1366-5545
  • Serial URL: http://www.sciencedirect.com/science/journal/13665545

Subject/Index Terms

• TRT Terms: Crude oil; Markets; Tanker shipping
• Uncontrolled Terms: Forward freight agreements
• Subject Areas: Economics; Freight Transportation; Planning and Forecasting;

Filing Info

• Accession Number: 01696454
• Record Type: Publication
• Files: TRIS
• Created Date: Feb 27 2019 9:40AM