Analysis of freight derivatives as tool for hedging risk in shipping sector
KeywordsΝαυτιλιακά παράγωγα ; Ναυλαγορά ; IMAREX ; Χρονοσειρές ; VECM ; FFA ; Freight rates ; Timeseries
The derivatives are quite recent in the shipping market. For this reason, even up to now a small part of shipping companies are using them as tool for hedging the risk, coming from the freight market itself. With this thesis, we will try to answer some basic questions, like if FFAs can eventually decrease this kind of risk. Through the statistical analysis, we will try to find out if there is a co-movement between the FFA and the respective index. Since we know that in order to decrease the risk of a time-series, you only have to predict it, we will use the VECM (Vector Error Correction Models) in order to forecast the BCI 180 index through the FFA-Cape 180 5TC. At the same time, it is declared from the very beginning that the data are limited – concerning the time – and that we use only one index (which is related with specific routes) and only one vessel size. As a result, taking under consideration all above restrictions we can ensure that the research is not reflecting the whole market, but can also trigger further and bigger analysis.