Hedging voyage charter rates on illiquid routes

Freight prices are heterogeneous, and not all the routes have the same liquidity of spot or futures prices; therefore, sometimes there are problems related to one, or more, route hedges. In this paper, the authors develop a methodology to hedge the price risk of one route using other routes' futures contracts. The main result of this paper is that the authors can hedge, with a great fit, the price risk of one route using other routes' futures contracts. The hedging results obtained with the authors' methodology outperform those obtained with standard simple regression procedures.

Language

  • English

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Filing Info

  • Accession Number: 01744634
  • Record Type: Publication
  • Files: TRIS
  • Created Date: May 20 2020 10:14AM