Understanding the fundamentals of freight markets volatility

• Main Authors: LIM, Kian Guan, NOMIKOS, Nikos K., YAP, Nelson
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2019
• Subjects: Freight options; implied volatility; economic modelling; fundamental analysis; Finance; Finance and Financial Management
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/6402; https://ink.library.smu.edu.sg/context/lkcsb_research/article/7401/viewcontent/Understanding_the_fundamentals_of_freight_markets_volatility.pdf
• Institution: Singapore Management University

We analyse empirically the drivers of freight market volatility. We use several macroeconomic and shipping-related factors that are known to affect the supply and demand for shipping and examine their impact on the term structure of freight options implied volatilities (IV). We find that the level o...