Are Freight Futures Markets Efficient? Evidence from IMAREX

31 Pages Posted: 1 Apr 2010 Last revised: 27 Nov 2011

See all articles by Lambros Goulas

Lambros Goulas

Systemic Risk Management

George S. Skiadopoulos

Queen Mary, University of London, School of Economics and Finance; University of Piraeus

Multiple version iconThere are 2 versions of this paper

Date Written: October 11, 2011

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 daily and weekly horizons. To this end, we address the question in both a statistical and an economic setting by employing an extensive dataset of freight futures prices. In the statistical setting, we form both point and interval forecasts by 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 and 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 pricing of freight derivatives.

Keywords: Freight markets; Freight rate; IMAREX freight futures; Interval forecasts; Market efficiency, Model Confidence Set

JEL Classification: C53, G10, G13, G14

Suggested Citation

Goulas, Lambros and Skiadopoulos, George, Are Freight Futures Markets Efficient? Evidence from IMAREX (October 11, 2011). Available at SSRN: https://ssrn.com/abstract=1582356 or http://dx.doi.org/10.2139/ssrn.1582356

Lambros Goulas

Systemic Risk Management ( email )

Akadimias 8
Athens, 10671
Greece
0030 210 33 89 275 (Phone)

George Skiadopoulos (Contact Author)

Queen Mary, University of London, School of Economics and Finance

Lincoln's Inn Fields
Mile End Rd.
London, E1 4NS
United Kingdom

University of Piraeus ( email )

80 Karaoli & Dimitriou Str.
18534 Piraeus, 185 34 -GR
Greece

HOME PAGE: http://web.xrh.unipi.gr/faculty/gskiadopoulos/

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