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Information Processing in Freight and Freight Forward Markets: An Event Study on OPEC Announcements

Author

Listed:
  • Lauenstein, Philipp

    (Helmut Schmidt University, Hamburg)

  • Küster Simic, André

    (HSBA Hamburg School of Business Administration)

Abstract
In this paper, information processing in spot and forward freight markets with respect to the Organization of the Petroleum Exporting Countries (OPEC) output announcements is investigated. We use the event study methodology to study returns in tanker freight spot and forward markets around OPEC conferences from 2003 to 2014. Significant abnormal returns indicate that the output decisions are informationally important for the pricing of crude oil transportation services. We consistently find patterns of positive abnormal returns around production increase announcements and negative abnormal returns around announcements of production cuts. Our analysis also suggests that market participants appear to trade three to five days prior to the final announcement based on their anticipation of the actual output announcements. This is consistent with findings from related studies on crude oil returns. Persistence of abnormal returns in the post-event period indicates incomplete initial reactions or at least slow adjustment to disseminated information.

Suggested Citation

  • Lauenstein, Philipp & Küster Simic, André, 2016. "Information Processing in Freight and Freight Forward Markets: An Event Study on OPEC Announcements," Working Paper 172/2016, Helmut Schmidt University, Hamburg.
    • Handle: RePEc:ris:vhsuwp:2016_172
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    Citations

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    Cited by:

    1. Dewenter, Ralf & Löw, Franziska, 2022. "Endogenous Network Effects," Working Paper 194/2022, Helmut Schmidt University, Hamburg.
    2. Beckmann, Klaus B., 2017. "Bounded rationality in differential games," Working Paper 178/2017, Helmut Schmidt University, Hamburg.
    3. Bantle, Melissa & Muijs, Matthias, 2018. "A new price test in geographic market definition – an application to german retail gasoline market," Working Paper 180/2018, Helmut Schmidt University, Hamburg.

    More about this item

    Keywords

    Tanker Freight Rates; Freight Forwards; OPEC; Informational Efficiency; Event Study;
    All these keywords.

    JEL classification:

    • F10 - International Economics - - Trade - - - General
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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