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Dynamics and interdependencies among different shipping freight markets

Li, KX, Xiao, Y, Chen, SL ORCID: 0000-0002-1513-4365, Zhang, W ORCID: 0000-0002-5651-6706, Du, Y ORCID: 0000-0001-7540-493X and Shi, W ORCID: 0000-0001-6551-0499 2018 , 'Dynamics and interdependencies among different shipping freight markets' , Maritime Policy and Management , pp. 1-13 , doi: 10.1080/03088839.2018.1488187.

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Abstract

An appropriate description of freight rate behaviors is important to maritime forecasting and portfolio diversification in shipping freight markets. We employ general autoregressive conditional heteroscedasticity-copula models to capture the dynamics and interdependencies among shipping freight rates. Using weekly data from 5 January 2002 to 24 March 2018, our main findings are first, Granger causality tests confirm the presence of one-way causality running from the dry bulk and the clean tanker freight rate returns to the container and the dirty tanker freight rate returns, respectively. Second, volatility persistence exists in individual shipping freight market and, in particular, it is much less persistent in the clean tanker freight market. Third, nonlinear dynamic interdependencies among freight rate returns are captured by performing time-varying copulas. The results not only deepen our understanding of freight rate behaviors but also offer new insights into portfolio diversification and risk management in the shipping freight markets.

Item Type: Article
Authors/Creators:Li, KX and Xiao, Y and Chen, SL and Zhang, W and Du, Y and Shi, W
Keywords: shipping freight markets, dynamics, interdependencies, granger causality tests, GARCH-copula
Journal or Publication Title: Maritime Policy and Management
Publisher: Routledge
ISSN: 0308-8839
DOI / ID Number: 10.1080/03088839.2018.1488187
Copyright Information:

Copyright 2018 Informa UK Limited, trading as Taylor & Francis Group

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