Capesize markets behavior: Explaining volatility and expectations
| Autor: | Ioannis Karaoulanis, Theodore Pelagidis |
|---|---|
| Rok vydání: | 2021 |
| Předmět: |
050210 logistics & transportation
lcsh:HF5761-5780 Earnings 05 social sciences Spot market Time lag Transportation Expectations Freight market Management Science and Operations Research Baltic dry index Article Capesize markets Volatility Management of Technology and Innovation 0502 economics and business lcsh:Shipment of goods. Delivery of goods Econometrics Economics Statistical analysis Business and International Management Volatility (finance) Time series 050203 business & management |
| Zdroj: | The Asian Journal of Shipping and Logistics Asian Journal of Shipping and Logistics, Vol 37, Iss 1, Pp 82-90 (2021) |
| ISSN: | 2092-5212 |
| DOI: | 10.1016/j.ajsl.2020.08.001 |
| Popis: | It is widely accepted that the highly volatile capesize market has many peculiarities. Its importance has been recently highlighted by an increase in contribution of the Baltic Capesize Index (BCI) to the Baltic Dry Index (BDI), affecting the progress of the BDI more than any other dry bulk index. This paper investigates the behavior of the capesize market focusing on expectations and time lags. Expectations play a critical role in the freight market both for the short-term and the long-term decision making. In particular, we investigate the relation between time lags and time-charter, trip and spot market rates as well as the average earnings of the capesize vessels of various ages. Time series analysis is used to reach our conclusions. The Hannan – Quinn criterion has been selected to identify the important lags of the capesize freight market for the period 1977–2018 and an Autoregressive (AR) model has been constructed to perform the statistical analysis. The findings indicate that there is a strong correlation between time lags and capesize freight market, forecasting indeed the behavior of the market. At a practical level, better understanding of the behavior of the capesize market can improve the planning decision of ship-owners and charterers alike. |
| Databáze: | OpenAIRE |
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