Scientific Papers by Amir Alizadeh
Transportation Research Part E: Logistics and Transportation Review, Volume 76, pp. 58-75, Apr 2015
The study examines the impact of liquidity risk on freight derivatives returns. The Amihud liquid... more The study examines the impact of liquidity risk on freight derivatives returns. The Amihud liquidity ratio and bid-ask spreads are utilized to assess the existence of liquidity risk in the freight derivatives market. Other macroeconomic variables are used to control for market risk. Results indicate that liquidity risk is priced and both liquidity measures have a significant role in determining freight derivatives returns. Consistent with expectations, both liquidity measures are found to have positive and significant effects on the returns of freight derivatives. The results have important implications for modeling freight derivatives, and consequently, for trading and risk management purposes.
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Papers by Amir Alizadeh
This paper investigates the pricing theories in the storable commodity futures market using a mod... more This paper investigates the pricing theories in the storable commodity futures market using a model that can implement both the cost-of-carry and convenience yield theory. Given the findings of stochastic trend in the cost-of-carry elements, a long- run equilibrium relationship is found among the spot, futures price, carrying costs and stock level. A Markov Regime Switching model is estimated to account for the regime switching in the cost-of-carry relationship and supportive evidence is found. Though the spot and future prices are cointegrated in the long run, structural changes are detected over the sample period. The contribution of this paper is twofold. Firstly, it examines the long-run cointegration relationship between futures and spot price with other cost-of-carry elements presence of stochastic trend. Secondly, structural changes in the cost-of-carry relationship are investigated using a Regime Switching model.
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International Journal of Logistics, 2004
The aim of this paper is to investigate the pricing efficiency of the forward bunker markets in d... more The aim of this paper is to investigate the pricing efficiency of the forward bunker markets in different geographical locations and across different maturities. Following the recent growth in the use of bunker fuel derivatives for risk management in the shipping industry, it is interesting to investigate whether these instruments serve the needs of market participants. Forward bunker contracts are available for all the major ports of the world on an over-the-counter basis, although the most liquid contracts are for delivery in New York, US Gulf, Singapore and Rotterdam. In order to test the validity of the efficient market hypothesis in the formation of forward bunker prices, we employ a battery of statistical tests. The results from these tests over different maturities indicate conclusively that the forward bunker market is efficient and hence market participants receive accurate signals from forward bunker prices which they can use as a guidance in their activities in the physical market.
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Talley/The Blackwell Companion to Maritime Economics, 2012
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Maritime Policy & Management, 2006
... are reported in table 3. The λ max and λ trace statistics indicate the existence of one co-in... more ... are reported in table 3. The λ max and λ trace statistics indicate the existence of one co-integrating vector between tanker prices and TC earnings in each market, although the evidence for the VLCC market seems to be a little weaker than the Handysize and Aframax markets. ...
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Transportation Research Part B: Methodological, 2007
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Applied Economics, 2004
The effectiveness of hedging marine bunker price fluctuations in Rotterdam, Singapore and Houston... more The effectiveness of hedging marine bunker price fluctuations in Rotterdam, Singapore and Houston is examined using different crude oil and petroleum future contracts traded at the New York Mercantile Exchange (NYMEX) and the International Petroleum Exchange (IPE) in London. Using both constant and dynamic hedge ratios, it is found that in and out-of-sample hedging effectiveness is different across regional bunker markets. The most effective futures instruments for out of sample hedging of spot bunker prices in Rotterdam and Singapore are the IPE crude oil futures, while for Houston it is the gas oil futures. Differences in hedging effectiveness across regional markets are attributed to the varying regional supply and demand factors in each market. In comparison to other markets, the cross-market hedging effectiveness investigated in the bunker market is low.
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Maritime Policy & Management, 2003
This paper investigates, for the first time, the relationship between prices and trading activity... more This paper investigates, for the first time, the relationship between prices and trading activity in a market where real assets are traded, ie in the sale and purchase market for second-hand dry bulk vessels. Investigation of this issue is of interest since the level of trading ...
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Transportation Research Part E-logistics and Transportation Review, 2004
This paper investigates the dynamic relationship between oil futures and spot markets and tanker ... more This paper investigates the dynamic relationship between oil futures and spot markets and tanker freight rates across two major tanker routes. In particular, we examine the validity of the cost of carry relationship in the WTI futures market, which suggests that the difference between physical and futures crude oil prices should reflect the transportation costs. We also examine whether the futures-physical oil differential contains information regarding tanker freight rate formation. Using physical crude oil prices for the Brent and Bonny markets, WTI futures prices and freight rates we find no evidence to support the existence of a relationship between tanker freight rates and physical-futures differentials in the crude oil market. This is mainly attributed to regional supply and demand imbalances and suggests that arbitrage opportunities between oil derivatives and tanker freight markets exist. Simulated trading strategies reveal the existence of excess profits, which are robust to variations in transaction costs, pipeline charges and timing of initiation of arbitrage.
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Transportation Research Part B-methodological, 2007
The aim of this paper is to investigate, for the first time, the performance of trading strategie... more The aim of this paper is to investigate, for the first time, the performance of trading strategies based on the combination of technical trading rules and fundamental analysis in the sale and purchase market for dry bulk ships. Using a sample of price and charter rates over the period January 1976 to September 2004, we establish the existence of a long-run cointegrating relationship between price and earnings and use this relationship as an indicator of investment or divestment timing decisions in the dry bulk shipping sector. In order to discount the possibility of data snooping biases and to evaluate the robustness of our trading models, we also perform tests using the stationary bootstrap approach. Our results indicate that trading strategies based on earnings–price ratios significantly out-perform buy and hold strategies in the second-hand market for ships, especially in the market for larger vessels, due to higher volatility in these markets.
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Journal of Banking & Finance, 2008
This paper estimates constant and dynamic hedge ratios in the New York Mercantile Exchange oil fu... more This paper estimates constant and dynamic hedge ratios in the New York Mercantile Exchange oil futures markets and examines their hedging performance. We also introduce a Markov regime switching vector error correction model with GARCH error structure. This specification links the concept of disequilibrium with that of uncertainty (as measured by the conditional second moments) across high and low volatility regimes. Overall, in and out-of-sample tests indicate that state dependent hedge ratios are able to provide significant reduction in portfolio risk.
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Journal of Futures Markets, 2004
In this paper we describe a new approach for determining time-varying minimum variance hedge rati... more In this paper we describe a new approach for determining time-varying minimum variance hedge ratio in stock index futures markets by using Markov Regime Switching (MRS) models. The rationale behind the use of these models stems from the fact that the dynamic relationship between spot and futures returns may be characterized by regime shifts, which, in turn, suggests that by allowing the hedge ratio to be dependent upon the “state of the market,” one may obtain more efficient hedge ratios and hence, superior hedging performance compared to other methods in the literature. The performance of the MRS hedge ratios is compared to that of alternative models such as GARCH, Error Correction and OLS in the FTSE 100 and S&P 500 markets. In and out-of-sample tests indicate that MRS hedge ratios outperform the other models in reducing portfolio risk in the FTSE 100 market. In the S&P 500 market the MRS model outperforms the other hedging strategies only within sample. Overall, the results indicate that by using MRS models market agents may be able to increase the performance of their hedges, measured in terms of variance reduction and increase in their utility. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:649–674, 2004
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International Handbook of Maritime Economics, 2011
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Journal of Futures Markets, 2004
In this paper we describe a new approach for determining time-varying minimum variance hedge rati... more In this paper we describe a new approach for determining time-varying minimum variance hedge ratio in stock index futures markets by using Markov Regime Switching (MRS) models. The rationale behind the use of these models stems from the fact that the dynamic relationship between spot and futures returns may be characterized by regime shifts, which, in turn, suggests that by allowing the hedge ratio to be dependent upon the “state of the market,” one may obtain more efficient hedge ratios and hence, superior hedging performance compared to other methods in the literature. The performance of the MRS hedge ratios is compared to that of alternative models such as GARCH, Error Correction and OLS in the FTSE 100 and S&P 500 markets. In and out-of-sample tests indicate that MRS hedge ratios outperform the other models in reducing portfolio risk in the FTSE 100 market. In the S&P 500 market the MRS model outperforms the other hedging strategies only within sample. Overall, the results indicate that by using MRS models market agents may be able to increase the performance of their hedges, measured in terms of variance reduction and increase in their utility. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:649–674, 2004
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Transportation Research Part E: Logistics and Transportation Review, 2013
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Maritime Policy & Management, 2006
... are reported in table 3. The λ max and λ trace statistics indicate the existence of one co-in... more ... are reported in table 3. The λ max and λ trace statistics indicate the existence of one co-integrating vector between tanker prices and TC earnings in each market, although the evidence for the VLCC market seems to be a little weaker than the Handysize and Aframax markets. ...
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Maritime Policy & Management, 2003
This paper investigates, for the first time, the relationship between prices and trading activity... more This paper investigates, for the first time, the relationship between prices and trading activity in a market where real assets are traded, ie in the sale and purchase market for second-hand dry bulk vessels. Investigation of this issue is of interest since the level of trading ...
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Journal of Banking & Finance, 2008
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Journal of Banking & Finance, 2013
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Scientific Papers by Amir Alizadeh
Papers by Amir Alizadeh