Over-the-Counter Forward Contracts and Spot Price Volatility
Over-the-Counter Forward Contracts and Spot Price Volatility
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DOI：
10.2139/ssrn.391667
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发表时间：
2004-07
期刊：
影响因子：
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通讯作者：
R. Batchelor;M. Kavussanos;Ilias D. Visvikis
中科院分区：
文献类型：
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作者：
R. Batchelor;M. Kavussanos;Ilias D. Visvikis
本文的目的是调查的影响，远期运费协议（FFA）交易的引入对现货市场价格波动的两个巴拿马型大西洋（1和1A）和两个巴拿马型太平洋（2和2A）干散货航运业的贸易路线。结果表明，FFA贸易的开始：（a）减少现货价格波动在所有调查的路线，（B）有影响的波动在太平洋航线的不对称性，和（c）大大提高了质量和速度的信息流在四个调查的路线。引入控制变量后，可能会影响价格波动性，结果表明，只有在航程路线可能会减少波动性是FFA交易的直接后果。看来，引进自由期货交易并没有对现货市场产生不利影响，自由期货交易开始后，信息传递到现货价格的方式有所改善。
The purpose of this paper is to investigate the impact of the introduction of Forward Freight Agreement (FFA) trading on spot market price volatility in two panamax Atlantic (1 and 1A) and two panamax Pacific (2 and 2A) trading routes of the dry-bulk shipping industry. The results suggest that the onset of FFA trading: (a) decreased spot price volatility in all investigated routes, (b) has had an impact on the asymmetry of volatility in Pacific routes, and (c) substantially improved the quality and speed of information flow in three out of the four investigated routes. After introducing control variables, that may affect price volatility, the results indicate that only in voyage routes may the reduction in volatility be a direct consequence of FFA trading. It seems that the introduction of FFA trading has not had a detrimental effect on the spot market, with an improvement in the way information is transmitted into spot prices following the onset of FFA trading.