The Efficiency of the forward bunker market

摘要

The aim of this paper is to investigate the pricing efficiency of the forward bunker markets in different geographical locations and across different maturities. Following the recent growth in the use of bunker fuel derivatives for risk management in the shipping industry, it is interesting to investigate whether these instruments serve the needs of market participants. Forward bunker contracts are available for all the major ports of the world on an over-the-counter basis, although the most liquid contracts are for delivery in New York, US Gulf, Singapore and Rotterdam. In order to test the validity of the efficient market hypothesis in the formation of forward bunker prices, we employ a battery of statistical tests. The results from these tests over different maturities indicate conclusively that the forward bunker market is efficient and hence market participants receive accurate signals from forward bunker prices which they can use as a guidance in their activities in the physical market.