Extant literature investigates volatility spillovers between spot markets of the same asset class or between derivatives and their underlying spot markets. This paper investigates economic spillovers between the freight and commodity derivatives markets. The economic relationship tested links the derivative price of the commodity transported with the derivative price on the freight rate. High frequency data on commodities are synchronized with freight data and freight rates of different vessels are matched with portfolios (baskets) of commodities that these vessels carry. The investigation of various types of commodities transported under different types of freight contracts reveal that in most cases new information appears first in the returns and volatilities of the commodities futures markets, before it is spilled over into the freight derivatives markets. Thus, agricultural commodity futures informationally lead the freight markets. The results can help improve the understanding of the information transmission mechanisms between freight and commodity markets.
Professor Manolis G. Kavussanos is a faculty member of the Athens University of Economics and Business (AUEB), Greece. He is the Director of the Laboratory for Finance and a member of the governing committees of the Athens MBA program and of the MSc program in Accounting and Finance, while he has also been for 5 years the Director of the MSc and PhD programs in Accounting and Finance at AUEB. He holds a BSc and MSc (Economics) from the University of London and a PhD (Applied Economics) from City University Cass Business School (Cass), London. He launched and Directed the MSc in Trade, Logistics and Finance at Cass until he joined AUEB. He has held various posts as professor of finance and shipping in universities in more than eight countries around the globe (e.g. UK, France, The Netherlands, Belgium, Italy, Singapore, China, Greece and Cyprus), and has provided consultancy and executive training services in finance and shipping to private companies and public sector organizations. He has written extensively in the areas of finance, shipping and applied economics and is the author of numerous academic papers published in top international refereed journals, in conference proceedings and books. This work has been presented in international conferences and professional meetings around the world, gaining awards for its quality, sponsored by both public and private sector companies and cited extensively by other researchers in the area. Since 1992 he has worked in developing the area of risk analysis and management in shipping and is the co-author of three books in this area.