IMIS - Marine Onderzoeksgroepen | Compendium Kust en Zee

IMIS - Marine Onderzoeksgroepen

[ meld een fout in dit record ]mandje (0): toevoegen | toon Print deze pagina

Dynamic interrelationships in returns and volatilities between Capesize and Panamax markets
Chen, S.; Meersman, H.; Van de Voorde, E. (2010). Dynamic interrelationships in returns and volatilities between Capesize and Panamax markets. Maritime Economics & Logistics 12(1): 65-90. https://dx.doi.org/10.1057/mel.2009.19
In: Maritime Economics & Logistics. Palgrave Macmillan: Basingstoke. ISSN 1479-2931; e-ISSN 1479-294X, meer
Peer reviewed article  

Beschikbaar in  Auteurs 

Trefwoord
    Marien/Kust

Auteurs  Top 
  • Chen, S.
  • Meersman, H., meer
  • Van de Voorde, E., meer

Abstract
    This article investigates the interrelationships in daily returns and volatilities between Capesize and Panamax price series in four major trading routes, the transatlantic, the fronthaul, the transpacific and the backhaul, during the sample period from 1999 to 2008. The sample is split into two sub-periods: the first runs from 3 January 1999 to 24 December 2002 and the second is from 2 January 2003 to 29 August 2008, because of the substantially different economic conditions and market features over each of these periods. Cointegration and causality tests have been made for the price series over two sub-periods and yield mixed results. The volatility spillovers between Capesize and Panamax markets are investigated by employing an extended bivariate ECM-GARCH model. The results, in terms of returns and volatilities, imply that the dynamics between the two markets change across time on different trading routes. The findings of this study contain useful information for both shipowners and charterers to mitigate risks or to make extra profits by switching between the two markets.

Alle informatie in het Integrated Marine Information System (IMIS) valt onder het VLIZ Privacy beleid Top | Auteurs