Dynamics and interdependencies among different shipping freight markets
DC Field | Value | Language |
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dc.contributor.author | Li, Kevin X. | - |
dc.contributor.author | Xiao, Yi | - |
dc.contributor.author | Chen, Shu-Ling | - |
dc.contributor.author | Zhang, Wei | - |
dc.contributor.author | Du, Yuquan | - |
dc.contributor.author | Shi, Wenming | - |
dc.date.available | 2019-01-22T14:21:03Z | - |
dc.date.issued | 2018-10-03 | - |
dc.identifier.issn | 0308-8839 | - |
dc.identifier.issn | 1464-5254 | - |
dc.identifier.uri | https://scholarworks.bwise.kr/cau/handle/2019.sw.cau/1537 | - |
dc.description.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. | - |
dc.format.extent | 13 | - |
dc.publisher | ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD | - |
dc.title | Dynamics and interdependencies among different shipping freight markets | - |
dc.type | Article | - |
dc.identifier.doi | 10.1080/03088839.2018.1488187 | - |
dc.identifier.bibliographicCitation | MARITIME POLICY & MANAGEMENT, v.45, no.7, pp 837 - 849 | - |
dc.description.isOpenAccess | N | - |
dc.identifier.wosid | 000443903900001 | - |
dc.identifier.scopusid | 2-s2.0-85048758848 | - |
dc.citation.endPage | 849 | - |
dc.citation.number | 7 | - |
dc.citation.startPage | 837 | - |
dc.citation.title | MARITIME POLICY & MANAGEMENT | - |
dc.citation.volume | 45 | - |
dc.type.docType | Article | - |
dc.publisher.location | 영국 | - |
dc.subject.keywordAuthor | shipping freight markets | - |
dc.subject.keywordAuthor | dynamics | - |
dc.subject.keywordAuthor | interdependencies | - |
dc.subject.keywordAuthor | granger causality tests | - |
dc.subject.keywordAuthor | GARCH-copula | - |
dc.subject.keywordPlus | OIL PRICE | - |
dc.subject.keywordPlus | TIME CHARTER | - |
dc.subject.keywordPlus | VOLATILITY | - |
dc.subject.keywordPlus | SPOT | - |
dc.subject.keywordPlus | RATES | - |
dc.subject.keywordPlus | DEPENDENCE | - |
dc.subject.keywordPlus | FUTURES | - |
dc.subject.keywordPlus | STOCK | - |
dc.subject.keywordPlus | DERIVATIVES | - |
dc.subject.keywordPlus | RETURNS | - |
dc.relation.journalResearchArea | Transportation | - |
dc.relation.journalWebOfScienceCategory | Transportation | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
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