Purpose This study aims to propose a theoretical model to characterize the optimal forward freight agreement (FFA) procurement strategies and investigate the determinants of FFA trading activities from a new cross-market perspective. Findings A two-step model specification is used to empirically test the theoretical results for the Capesize, Panamax and Supramax sectors. It is found that spot demand has a positive relation with FFA trading volume for all three sectors. Moreover, spot demand volatility has a negative relation, while the correlation between spot demand and spot rate has a positive relation with FFA trading volume for the Capesize and Panamax sectors. Originality/value The results show that the expected spot demand is scaled by a “quantity premium,” which is the product of a demand covariance term, a demand riskiness term and a demand volatility term. This can be used by the traders in the FFA market to construct their hedging strategies.

中文翻译：

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从现货和远期跨市场角度模拟干散货FFA交易量的决定因素

目的本研究旨在提出一个理论模型，以表征最佳远期货运协议（FFA）的采购策略，并从新的跨市场角度研究FFA贸易活动的决定因素。调查结果两步模型说明用于对好望角型，巴拿马型和超灵便型船的理论结果进行经验测试。发现现货需求与三个部门的FFA交易量均呈正相关。此外，现货需求的波动性具有负相关性，而现货需求和现货汇率之间的相关性与好望角型和巴拿马型船的FFA交易量呈正相关。独创性/价值结果表明，预期现货需求是由“数量溢价”来衡量的，“数量溢价”是需求协方差项的乘积，需求风险条款和需求波动条款。FFA市场中的交易者可以使用它来构建他们的对冲策略。