Investigating the Structure of Freight Rate Indices Volatility in Dry Bulk and Tanker Shipping Markets

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ABBASPOUR M.; Kohbor M. A.; YOUSEFI H.

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Journal: JOURNAL OF TRANSPORTATION RESEARCH Year:2018 | Volume:15 | Issue:54 Page(s): 297-305

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Title

Investigating the Structure of Freight Rate Indices Volatility in Dry Bulk and Tanker Shipping Markets

Author(s)

ABBASPOUR M. | Kohbor M. A. | YOUSEFI H. | Issue Writer Certificate

Keywords

TransportationQ2

FreightQ2

ShipmentQ1

Abstract

In financial literature, price volatility or any variable is an indicator of the risk of that variable, and it is usually calculated using standard deviation or variance. Accordingly, the purpose of this paper is to analyze the structure of volatility of Freight rate in the dry bulk and tanker markets. In order to, examine the structure of the volatility of BDI, BCTI and BDTI indices; full autoregressive conditional heteroscedasticity was used. The results of the research showed that there was high volatility in all three Freight markets. Also, the results of the Minimum durability of the memory of a shock in the BDI index indicate that during the volatility of prices, the Freight risk of this market will much less than the other two markets. So, and according to Markowitz theory, investors who intend to buy dry bulk or oil tankers shipping companies stocks, if they intend to maintain stocks in long-term and work strategically in the stock market, buying stocks of dry bulk shipping companies will be less risky for them.

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APA: Copy

ABBASPOUR, M., Kohbor, M. A., & YOUSEFI, H.. (2018). Investigating the Structure of Freight Rate Indices Volatility in Dry Bulk and Tanker Shipping Markets. JOURNAL OF TRANSPORTATION RESEARCH, 15(54 ), 297-305. SID. https://sid.ir/paper/84039/en

Vancouver: Copy

ABBASPOUR M., Kohbor M. A., YOUSEFI H.. Investigating the Structure of Freight Rate Indices Volatility in Dry Bulk and Tanker Shipping Markets. JOURNAL OF TRANSPORTATION RESEARCH[Internet]. 2018;15(54 ):297-305. Available from: https://sid.ir/paper/84039/en

IEEE: Copy

M. ABBASPOUR, M. A. Kohbor, and H. YOUSEFI, “Investigating the Structure of Freight Rate Indices Volatility in Dry Bulk and Tanker Shipping Markets,” JOURNAL OF TRANSPORTATION RESEARCH, vol. 15, no. 54 , pp. 297–305, 2018, [Online]. Available: https://sid.ir/paper/84039/en

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