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Trading volume and volatility in the shipping forward freight market

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  • Alizadeh, Amir H.

Abstract

This paper investigates the price volatility and trading volume relationship in the forward freight agreement (FFA) market for dry bulk ships over the period 2007–2011. It is found that FFA price changes have a positive impact on trading volume, suggesting a momentum effect as higher capital gains encourage more transactions. There is also evidence of a contemporaneous and positive relation between trading volume and volatility, which is in line with evidence from financial markets and the Mixture of Distribution Hypothesis. However, increases in price volatility lead to lower future trading activities in the FFA market.

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  • Alizadeh, Amir H., 2013. "Trading volume and volatility in the shipping forward freight market," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 49(1), pages 250-265.
    • Handle: RePEc:eee:transe:v:49:y:2013:i:1:p:250-265
    DOI: 10.1016/j.tre.2012.08.001
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    20. Pelagidis, Theodore & Karaoulanis, Ioannis, 2021. "Capesize markets behavior: Explaining volatility and expectations," MPRA Paper 107034, University Library of Munich, Germany.
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