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Dynamics and interdependencies among different shipping freight markets

Citation

Li, KX and Xiao, Y and Chen, S-L and Zhang, W and Du, Y and Shi, W, Dynamics and interdependencies among different shipping freight markets, Maritime Policy and Management, 45, (7) pp. 837-849. ISSN 0308-8839 (2018) [Refereed Article]

Copyright Statement

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

DOI: doi:10.1080/03088839.2018.1488187

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 Details

Item Type:Refereed Article
Keywords:shipping freight markets, dynamics, interdependencies, granger causality tests, GARCH-copula
Research Division:Economics
Research Group:Applied Economics
Research Field:Transport Economics
Objective Division:Defence
Objective Group:Defence
Objective Field:Logistics
UTAS Author:Chen, S-L (Dr Peggy Chen)
UTAS Author:Zhang, W (Dr Vera Zhang)
UTAS Author:Du, Y (Dr Bill Du)
UTAS Author:Shi, W (Dr Wenming Shi)
ID Code:126896
Year Published:2018
Deposited By:Maritime and Logistics Management
Deposited On:2018-07-02
Last Modified:2019-03-12
Downloads:0

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