Κατεύθυνση Διαχείρισης Κεφαλαίων και Κινδύνων
Library of the Faculty of Economics and of the Faculty of Business Administration

2020-09-28

2020

Petropoulou Anastasia-Maria

Δότσης Γεώργιος, Επίκουρος, Τμήμα Οικονομικών Επιστημών, Εθνικό και Καποδιστριακό Πανεπιστήμιο Αθηνών

Forward freight agreements: Their impact in the freight rate of the Capesize market

English

Forward Freight agreements: Their impact in the freight rate of the Capesize market

This thesis investigates the role of FFA in the physical market and its connection with the Freight Rate. An introduction to freight derivatives was made enabling the reader to understand the role of the hedging tool whereas several tests ,through the EViews software, such as stationarity, cointegration as well as VECM tests were presented in an effort to prove the causality of the variables in a linear regression model which was then evaluated for autocorrelation and heteroskedasticity with relevant diagnostic tests.
After conducting the empirical analysis, the results indicated a connection of variables both in the short and long run, basis the 1year maturity as a settlement period. While, the linear regression model demonstrated that FFA can be considered as a significant indicator of freight rate indices’ movement which incorporates the market information in an efficient manner.

Science

shipping, derivatives, FFA, freight rate, cointegration, unit root, heteroskedasticity, autocorrelation, VECM

No

0

Yes

25

42

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https://pergamos.lib.uoa.gr/uoa/dl/object/2922324