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Are freight futures markets efficient? Evidence from IMAREX
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Goulas, Lambros and Skiadopoulos, George (2012) Are freight futures markets efficient? Evidence from IMAREX. International Journal of Forecasting, Volume 28 (Number 3). pp. 644-659. doi:10.1016/j.ijforecast.2011.11.004 ISSN 0169-2070.
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Official URL: http://dx.doi.org/10.1016/j.ijforecast.2011.11.004
Abstract
The International Maritime Exchange (IMAREX) is the leading regulated marketplace for trading and clearing shipping freight derivatives. We investigate for the first time whether the IMAREX freight futures market is efficient over the daily and weekly horizons. To this end, we address the question in both a statistical setting and an economic setting by employing an extensive dataset of freight futures prices. In the statistical setting, we form both point and interval forecasts using alternative models, and evaluate them using a number of statistical tests. We assess the economic significance of the obtained forecasts by means of trading strategies, taking into account the presence of transactions costs. We find that IMAREX is not efficient over the shorter daily horizon. The results have implications for the economics of freight futures markets and the pricing of freight derivatives. © 2012 International Institute of Forecasters.
Item Type: | Journal Article | ||||
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Divisions: | Faculty of Social Sciences > Warwick Business School | ||||
Journal or Publication Title: | International Journal of Forecasting | ||||
Publisher: | Elsevier | ||||
ISSN: | 0169-2070 | ||||
Official Date: | 2012 | ||||
Dates: |
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Volume: | Volume 28 | ||||
Number: | Number 3 | ||||
Page Range: | pp. 644-659 | ||||
DOI: | 10.1016/j.ijforecast.2011.11.004 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access |
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