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An analysis of freight rate volatility in dry bulk shipping markets

The world bulk shipping market has been in a peak period since 2003, and this has lasted an incredibly long time considering that the markets are much more complex than before. This paper investigates the characteristics of volatility in dry bulk freight rates of different vessel sizes (capesize, panamax and handysize). The daily returns of freight rate indices of three different types of bulk vessel in the sample period have been examined. The sample period ran from 1 March 1999 to 23 December 2005, and applying the GARCH (generalized auto regressive conditional heteroskedasticity) model showed that the shocks will not decrease but have the tendency to strengthen for all the daily return series. Further, external shocks on the market have a different magnitude of influence on volatility in different types of vessels due to their distinct flexibility. To examine the asymmetric characters of daily return volatility in different bulk shipping sectors and different market conditions, the sample was divided into two periods: one is from 1 March 1999 to 31 December 2002, the other is from 1 January 2003 to 23 December 2005; the EGARCH (exponential generalized auto regressive conditional heteroskedasticity) model was then applied to investigate the asymmetric impact between past innovations and current volatility. The results show that the asymmetric characters are distinct for different vessel size segments and different market conditions. The reasons for the results are discussed and it is considered that the main reasons may be the different flexibility and different commodity transport on different routes. The results from this investigation will be useful for the operators and investors in the dry bulk shipping market to increase profitability and reduce investment risk.

Ketersediaan
#
IPC Corporate University Library ATC LO JIN a
ATC1802918
Tersedia
Informasi Detail
Judul Seri
Maritime Policy & Management: The flagship journal of international shipping and port research
No. Panggil
ATC LO JIN a
Penerbit
United Kingdom : routledge taylor france group.,
Deskripsi Fisik
17p
Bahasa
English
ISBN/ISSN
1464–5254
Klasifikasi
LO
Tipe Isi
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Tipe Media
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Tipe Pembawa
online resource
Edisi
VOL. 35, NO. 3, 237–251
Subjek
Freight Rate
Maritime Policy & Management
dry bulk shipping markets
Info Detail Spesifik
-
Pernyataan Tanggungjawab
Versi lain/terkait
Lampiran Berkas
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