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Information linkages between Panamax freight derivatives and commodity derivatives markets

Manolis Kavussanos (), Ilias Visvikis () and Dimitris Dimitrakopoulos

Maritime Economics & Logistics, 2010, vol. 12, issue 1, 91-110

Abstract: Cross market linkages and spillover effects between Forward Freight Agreements (FFAs) and futures contracts on the commodities transported by Panamax vessels can aid decision making in the very volatile freight markets. Results indicate that there are significant spillover effects between freight and commodity derivatives markets. These relationships run stronger from the commodity futures markets to forward freight markets. Following these results, market participants may monitor changes in the futures markets of the commodities transported by Panamax vessels to enhance their decisions in FFA and spot markets.

Date: 2010
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