 Are freight futures markets efficient? Evidence from IMAREXLambros Goulas and George Skiadopoulos International Journal of Forecasting, 2012, vol. 28, issue 3, 644-659 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. Keywords: Freight markets; Freight rate; IMAREX freight futures; Interval forecasts; Market efficiency; Model confidence set (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:28:y:2012:i:3:p:644-659 DOI: 10.1016/j.ijforecast.2011.11.004 Access Statistics for this article International Journal of Forecasting is currently edited by R. J. Hyndman More articles in International Journal of Forecasting from Elsevier |
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