Price Discovery, Causality and Forecasting in the Freight Futures Market
Manolis Kavussanos () and
Nikos Nomikos ()
Review of Derivatives Research, 2003, vol. 6, issue 3, 203-230
This paper investigates the causal relationship between futures and spot prices in the freight futures market. Being a thinly traded market whose underlying asset is a service, sets it apart from other markets investigated so far in the literature. Causality tests, generalised impulse response analysis and forecasting performance evaluation indicate that futures prices tend to discover new information more rapidly than spot prices. Revisions in the composition of the underlying index to make it more homogeneous, have strengthened the price discovery role of futures prices. The information incorporated in futures prices, when formulated as a VECM, produces more accurate forecasts of spot prices than the VAR, ARIMA and random-walk models, over several steps ahead. Copyright Kluwer Academic Publishers 2003
Keywords: futures markets; forecasting; Granger causality; generalised impulse response analysis; shipping (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (27) Track citations by RSS feed
Downloads: (external link)
Access to full text is restricted to subscribers.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:kap:revdev:v:6:y:2003:i:3:p:203-230
Ordering information: This journal article can be ordered from
http://www.springer. ... 29/journal/11147/PS2
Access Statistics for this article
Review of Derivatives Research is currently edited by Gurdip Bakshi and Dilip Madan
More articles in Review of Derivatives Research from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().