Manolis Kavussanos | Athens University of Economics and Business (original) (raw)

Papers by Manolis Kavussanos

Research paper thumbnail of Hedging IMO2020 compliant fuel price exposure using futures contracts

Energy Economics, Jun 1, 2022

Research paper thumbnail of Ffas Aid Price Discovery

Lloyd's Shipping Economist, Feb 1, 2003

SUBTITLE: RECENT RESEARCH INDICATES THAT FRIEGHT FORWARD AGREEMENTS CAN BE ACCURATE PREDICTORS OF... more SUBTITLE: RECENT RESEARCH INDICATES THAT FRIEGHT FORWARD AGREEMENTS CAN BE ACCURATE PREDICTORS OF TRENDS AND THEREFORE OF SIGNIFICANT VALUE TO MARKET PLAYERS AND THE INDUSTRY AS A WHOLE. MANOLIS G. KAVUSSANOS AND ILIAS VISVIKIS SUMMARISE SOME OF THEIR MAIN FINDINGS.

Research paper thumbnail of An Examination of the Relationship between Stock Return and Trading Activity Under Different Trading Systems

Social Science Research Network, 2001

The purpose of the paper is to examine the effects of different trading systems, the open outcry ... more The purpose of the paper is to examine the effects of different trading systems, the open outcry and the electronic systems, which differ in the speed of dissemination of order flow information, on the relation between trading activity and conditional volatility, on the probability distribution of returns, and on the asymmetric impact of news. The paper draws on the experience of the Athens Stock Exchange and finds that the establishment of the automated trading system caused, a) the asymmetric effects to disappear; b) the persistence of volatility to be reduced dramatically; and c) to improve the forecast of trading activity leaving only news to affect volatility.

Research paper thumbnail of Cubs' Optimistic View of Rates Prices in the 1990S

Lloyd's Shipping Economist, Dec 1, 1988

FORECASTING DELIVERIES, SCRAPPING AND SECONDHAND VALUES FOR TANKERS AND BULK CARRIERS, 1980-2000

Research paper thumbnail of Time series forecasting methods for the Baltic dry index

Journal of Forecasting, May 26, 2021

This paper forecasts the daily Baltic Dry Index (BDI) using time series and machine learning meth... more This paper forecasts the daily Baltic Dry Index (BDI) using time series and machine learning methods. Significant business cycles and freight rate volatility present in the ocean‐going shipping industry make the ability to forecast freight rates and cycles extremely important for business decisions. Data‐driven model selection based on data characteristics is performed through ARIMA, fractional ARIMA (FARIMA), and ARIMA and FARIMA models with GARCH and EGARCH errors. The corresponding machine learning techniques utilized are feed‐forward fully connected artificial neural networks (ANNs), support vector regression (SVR), and multivariate adaptive regression splines (MARS). Among others, FARIMA and MARS models are used for the first time in forecasting the BDI. Diebold–Mariano tests reveal that time series and machine learning approaches have comparable performance. However, combinations of forecasts of the selected models lead to better forecasting accuracy overall. Bai and Perron tests are utilized to check the robustness of the results over different cycles through the detection of breakpoints in the series.

Research paper thumbnail of Comparisons of Volatility in the Dry-Cargo Sector: Spot Versus Time Charters, and Smaller Versus Larger Vessels

Journal of Transport Economics and Policy, 1996

Research paper thumbnail of The Expectations Hypothesis of the Term Structure and Risk Premiums in Dry Bulk Shipping Freight Markets

Journal of Transport Economics and Policy, May 1, 2002

The availability of shipping freight contracts with different duration offers shipowners, operato... more The availability of shipping freight contracts with different duration offers shipowners, operators, and charterers the choice to trade risk and return according to the characteristics that each of these contracts offers on the utility frontier. The aim of this paper is to investigate the expectations hypothesis of the term structure in the formation of period rates, which requires long-term charter rates to be a function of a series of short-term contracts within the life of a long-term contract. The paper uses a battery of tests to examine the validity of the expectations hypothesis for a variety of size categories and different length charter rates over the period January 1980 to August 1997. © The London School of Economics and the University of Bath 2002

Research paper thumbnail of Highly Disaggregated Models of Seaborne Trade. An Empirical Model for Bilateral Dry-Cargo Flows in the World Economy

Social Science Research Network, 1996

The aim of this paper is to estimate an empirical model of bilateral dry-cargo seaborne import fl... more The aim of this paper is to estimate an empirical model of bilateral dry-cargo seaborne import flows in the international economy. Seaborne trade elasticities are estimated for the first time, utilizing the Constant Ratio of Elasticities of Substitution Homogeneous/Homothetic (CRESH) function, a function very rarely used in the past. Highly disaggregated data on volumes of seaborne trade, published by the UN, distinguish between five types of cargo according to the type of ship used for its transportation, and 30 trading regions according to the major sea-lanes used by ships internationally. Multistage budgeting is employed to make the problem of estimation tractable. An empirical model for dry-bulk cargo is estimated based on the CRESH function. Estimation of bilateral export price elasticities enables comparison of the degree of competition in each import market over export regions, and amongst import markets themselves. Risk-averse ship owners may utilize such a comparison to operate in world shiplaneswith low degree of competition.

Research paper thumbnail of Vessel value derivatives

Routledge eBooks, Apr 2, 2021

Research paper thumbnail of Freight market information and freight rate indices

Routledge eBooks, Apr 2, 2021

Research paper thumbnail of Applications of freight options

Routledge eBooks, Apr 2, 2021

Research paper thumbnail of Freight rate derivatives

Routledge eBooks, Apr 2, 2021

Research paper thumbnail of The Predictability of Non-Overlapping Forecasts: Evidence from a New Market

Social Science Research Network, Jun 25, 2015

Research paper thumbnail of Interest rate derivatives

Routledge eBooks, Apr 2, 2021

Research paper thumbnail of Introduction to financial derivatives

Routledge eBooks, Apr 2, 2021

Research paper thumbnail of Statistical tools for risk management in shipping

Routledge eBooks, Apr 2, 2021

Research paper thumbnail of Bunker price derivatives

Routledge eBooks, Apr 2, 2021

Research paper thumbnail of Hedging Effectiveness of the Athens Stock Exchange Futures Index Contracts

Social Science Research Network, Apr 1, 2008

This paper examines the hedging effectiveness of the FTSE/ATHEX-20 and FTSE/ATHEX Mid-40 stock in... more This paper examines the hedging effectiveness of the FTSE/ATHEX-20 and FTSE/ATHEX Mid-40 stock index futures contracts in the relatively new and fairly unresearched futures market of Greece. Both in-sample and out-of-sample hedging performances using weekly and daily data are examined, considering both constant and time-varying hedge ratios. Results indicate that time-varying hedging strategies provide incremental risk-reduction benefits in-sample, but under-perform simple constant hedging strategies out-of-sample. Moreover, futures contracts serve effectively their risk management role and compare favourably with results in other international stock index futures markets. Estimation of investor utility functions and corresponding optimal utility maximising hedge ratios yields similar results, in terms of model selection. For the FTSE/ATHEX Mid-40 contracts we identify the existence of speculative components, which lead to utility-maximising hedge ratios, that are different to the minimum variance hedge ratio solutions.

Research paper thumbnail of The Determinants of Credit Spead Changes in Global Shipping Bonds

Social Science Research Network, May 1, 2014

This paper investigates whether bond, issuer, industry and macro-specific variables account for t... more This paper investigates whether bond, issuer, industry and macro-specific variables account for the observed variation of credit spreads’ changes of global shipping bond issues before and after the onset of the subprime financial crisis. Results show that conclusions as to the significant variables of spreads depend significantly on whether two-way cluster-adjusted standard errors are utilized, thus rendering results in the extant literature ambigious. The main determinants of global cargo-carrying companies’ shipping bond spreads are found in this paper to be: the liquidity of the bond issue, the stock market’s volatility, the bond market’s cyclicality, freight earnings and the credit rating of the bond issue.

Research paper thumbnail of Credit risk analysis, measurement, and management in the shipping industry

Research paper thumbnail of Hedging IMO2020 compliant fuel price exposure using futures contracts

Energy Economics, Jun 1, 2022

Research paper thumbnail of Ffas Aid Price Discovery

Lloyd's Shipping Economist, Feb 1, 2003

SUBTITLE: RECENT RESEARCH INDICATES THAT FRIEGHT FORWARD AGREEMENTS CAN BE ACCURATE PREDICTORS OF... more SUBTITLE: RECENT RESEARCH INDICATES THAT FRIEGHT FORWARD AGREEMENTS CAN BE ACCURATE PREDICTORS OF TRENDS AND THEREFORE OF SIGNIFICANT VALUE TO MARKET PLAYERS AND THE INDUSTRY AS A WHOLE. MANOLIS G. KAVUSSANOS AND ILIAS VISVIKIS SUMMARISE SOME OF THEIR MAIN FINDINGS.

Research paper thumbnail of An Examination of the Relationship between Stock Return and Trading Activity Under Different Trading Systems

Social Science Research Network, 2001

The purpose of the paper is to examine the effects of different trading systems, the open outcry ... more The purpose of the paper is to examine the effects of different trading systems, the open outcry and the electronic systems, which differ in the speed of dissemination of order flow information, on the relation between trading activity and conditional volatility, on the probability distribution of returns, and on the asymmetric impact of news. The paper draws on the experience of the Athens Stock Exchange and finds that the establishment of the automated trading system caused, a) the asymmetric effects to disappear; b) the persistence of volatility to be reduced dramatically; and c) to improve the forecast of trading activity leaving only news to affect volatility.

Research paper thumbnail of Cubs' Optimistic View of Rates Prices in the 1990S

Lloyd's Shipping Economist, Dec 1, 1988

FORECASTING DELIVERIES, SCRAPPING AND SECONDHAND VALUES FOR TANKERS AND BULK CARRIERS, 1980-2000

Research paper thumbnail of Time series forecasting methods for the Baltic dry index

Journal of Forecasting, May 26, 2021

This paper forecasts the daily Baltic Dry Index (BDI) using time series and machine learning meth... more This paper forecasts the daily Baltic Dry Index (BDI) using time series and machine learning methods. Significant business cycles and freight rate volatility present in the ocean‐going shipping industry make the ability to forecast freight rates and cycles extremely important for business decisions. Data‐driven model selection based on data characteristics is performed through ARIMA, fractional ARIMA (FARIMA), and ARIMA and FARIMA models with GARCH and EGARCH errors. The corresponding machine learning techniques utilized are feed‐forward fully connected artificial neural networks (ANNs), support vector regression (SVR), and multivariate adaptive regression splines (MARS). Among others, FARIMA and MARS models are used for the first time in forecasting the BDI. Diebold–Mariano tests reveal that time series and machine learning approaches have comparable performance. However, combinations of forecasts of the selected models lead to better forecasting accuracy overall. Bai and Perron tests are utilized to check the robustness of the results over different cycles through the detection of breakpoints in the series.

Research paper thumbnail of Comparisons of Volatility in the Dry-Cargo Sector: Spot Versus Time Charters, and Smaller Versus Larger Vessels

Journal of Transport Economics and Policy, 1996

Research paper thumbnail of The Expectations Hypothesis of the Term Structure and Risk Premiums in Dry Bulk Shipping Freight Markets

Journal of Transport Economics and Policy, May 1, 2002

The availability of shipping freight contracts with different duration offers shipowners, operato... more The availability of shipping freight contracts with different duration offers shipowners, operators, and charterers the choice to trade risk and return according to the characteristics that each of these contracts offers on the utility frontier. The aim of this paper is to investigate the expectations hypothesis of the term structure in the formation of period rates, which requires long-term charter rates to be a function of a series of short-term contracts within the life of a long-term contract. The paper uses a battery of tests to examine the validity of the expectations hypothesis for a variety of size categories and different length charter rates over the period January 1980 to August 1997. © The London School of Economics and the University of Bath 2002

Research paper thumbnail of Highly Disaggregated Models of Seaborne Trade. An Empirical Model for Bilateral Dry-Cargo Flows in the World Economy

Social Science Research Network, 1996

The aim of this paper is to estimate an empirical model of bilateral dry-cargo seaborne import fl... more The aim of this paper is to estimate an empirical model of bilateral dry-cargo seaborne import flows in the international economy. Seaborne trade elasticities are estimated for the first time, utilizing the Constant Ratio of Elasticities of Substitution Homogeneous/Homothetic (CRESH) function, a function very rarely used in the past. Highly disaggregated data on volumes of seaborne trade, published by the UN, distinguish between five types of cargo according to the type of ship used for its transportation, and 30 trading regions according to the major sea-lanes used by ships internationally. Multistage budgeting is employed to make the problem of estimation tractable. An empirical model for dry-bulk cargo is estimated based on the CRESH function. Estimation of bilateral export price elasticities enables comparison of the degree of competition in each import market over export regions, and amongst import markets themselves. Risk-averse ship owners may utilize such a comparison to operate in world shiplaneswith low degree of competition.

Research paper thumbnail of Vessel value derivatives

Routledge eBooks, Apr 2, 2021

Research paper thumbnail of Freight market information and freight rate indices

Routledge eBooks, Apr 2, 2021

Research paper thumbnail of Applications of freight options

Routledge eBooks, Apr 2, 2021

Research paper thumbnail of Freight rate derivatives

Routledge eBooks, Apr 2, 2021

Research paper thumbnail of The Predictability of Non-Overlapping Forecasts: Evidence from a New Market

Social Science Research Network, Jun 25, 2015

Research paper thumbnail of Interest rate derivatives

Routledge eBooks, Apr 2, 2021

Research paper thumbnail of Introduction to financial derivatives

Routledge eBooks, Apr 2, 2021

Research paper thumbnail of Statistical tools for risk management in shipping

Routledge eBooks, Apr 2, 2021

Research paper thumbnail of Bunker price derivatives

Routledge eBooks, Apr 2, 2021

Research paper thumbnail of Hedging Effectiveness of the Athens Stock Exchange Futures Index Contracts

Social Science Research Network, Apr 1, 2008

This paper examines the hedging effectiveness of the FTSE/ATHEX-20 and FTSE/ATHEX Mid-40 stock in... more This paper examines the hedging effectiveness of the FTSE/ATHEX-20 and FTSE/ATHEX Mid-40 stock index futures contracts in the relatively new and fairly unresearched futures market of Greece. Both in-sample and out-of-sample hedging performances using weekly and daily data are examined, considering both constant and time-varying hedge ratios. Results indicate that time-varying hedging strategies provide incremental risk-reduction benefits in-sample, but under-perform simple constant hedging strategies out-of-sample. Moreover, futures contracts serve effectively their risk management role and compare favourably with results in other international stock index futures markets. Estimation of investor utility functions and corresponding optimal utility maximising hedge ratios yields similar results, in terms of model selection. For the FTSE/ATHEX Mid-40 contracts we identify the existence of speculative components, which lead to utility-maximising hedge ratios, that are different to the minimum variance hedge ratio solutions.

Research paper thumbnail of The Determinants of Credit Spead Changes in Global Shipping Bonds

Social Science Research Network, May 1, 2014

This paper investigates whether bond, issuer, industry and macro-specific variables account for t... more This paper investigates whether bond, issuer, industry and macro-specific variables account for the observed variation of credit spreads’ changes of global shipping bond issues before and after the onset of the subprime financial crisis. Results show that conclusions as to the significant variables of spreads depend significantly on whether two-way cluster-adjusted standard errors are utilized, thus rendering results in the extant literature ambigious. The main determinants of global cargo-carrying companies’ shipping bond spreads are found in this paper to be: the liquidity of the bond issue, the stock market’s volatility, the bond market’s cyclicality, freight earnings and the credit rating of the bond issue.

Research paper thumbnail of Credit risk analysis, measurement, and management in the shipping industry

Research paper thumbnail of THE INTERNATIONAL HANDBOOK OF SHIPPING FINANCE

The International Handbook of Shipping Finance is a one-stop resource, offering comprehensive ref... more The International Handbook of Shipping Finance is a one-stop resource, offering comprehensive reference to theory and practice in the area of shipping finance. In the multibillion dollar international shipping industry, it is important to understand the various issues involved in the finance of the sector. This involves the identification and evaluation of the alternative sources of capital available for financing the ships, including the appraisal and budgeting of shipping investment projects; legal and insurance aspects of ship finance; the financial analysis and modelling of investment projects; mergers and acquisitions; and the commercial and market risk management issues involved. Technical where appropriate, but grounded in market reality, this is a " must-have " reference for anyone involved in shipping finance, from bank practitioners and commodity trading houses, to shipbrokers, lawyers and insurance houses as well as to university students studying shipping finance.

Research paper thumbnail of Derivatives and Risk Management in Shipping (Book)

Witherbys Publishing & Seamanship International, UK, Jun 2006

This book deals with the issues of risk management in the shipping industry. This book is split n... more This book deals with the issues of risk management in the shipping industry. This book is split nine sections that deal with various aspects of risk management in the Shipping Industry. It provides the theory underlying the use of derivatives and deals with the practice of the use of derivatives for risk management and investment purposes. It then analyses the sources of risk in the shipping business and proposes ''traditional'' strategies for risk management at both the investment and operational level of the business. Traditional methods of risk management are compared and contrasted with those involving financial derivatives and the different solutions offered by the various types of derivative products are compared and practical applications examined.

Research paper thumbnail of A Survey of Shipping Finance Research: Setting the Future Research Agenda

Transportation Research Part E: Logistics and Transportation Review, 2018

Financing shipping related investment projects has always been a focal area of debate and researc... more Financing shipping related investment projects has always been a focal area of debate and research within the international maritime industry since access to funding can determine the competitiveness of a capital-intensive business as well as its success or failure under adverse market conditions. This paper provides, for the first time, a comprehensive and structured survey of all published research in the area of shipping finance and investment. The review spans approximately four decades (1979–2018) of empirical evidence, including 162 studies published in 48 scholarly journals, complemented with select books and book chapters. The study provides a bibliometric analysis and comprehensive synthesis of existing research offering an invaluable source of information for both the academic community and business practice, shaping the future research agenda in shipping finance and investment.