Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/4841
Title: The dynamics between freight volatility and fleet size growth in dry bulk shipping markets
Authors: Xu, Jane Jing
Yip, T. L.
Marlow, Peter B.
Subjects: Freight markets
Freight volatility
Fleet size
GARCH
Issue Date: Nov-2011
Publisher: Elsevier
Source: Transportation research part E: logistics and transportation review, Nov. 2011, v. 47, no. 6, p. 983-991.
Abstract: This paper studies the relationship between the time-varying volatility of dry bulk freight rates and the change of the supply of fleet trading in dry bulk markets. An abundance of research has been done to understand the time-varying characteristics of freight rate volatility, yet few have discussed the determinants of freight volatility. We therefore examine freight volatility against the changes in fleet size and other shipping market variables over January 1973–October 2010. The study employs a two-step model specification. The first step is the measurement of freight rate volatility through an AR-GARCH model; the second step is the analysis of the relationship between freight rate volatility and fleet size growth through a GMM regression. We confirm similar findings in the literature that freight rate volatility is time varying. Furthermore, the results reveal that the change in fleet size positively affects freight rate volatility, while the spot rate volatility of Capesize dry bulk exhibits a stronger reaction to the change in fleet size. The results of this study contribute in a general sense to understanding the systematic risk of shipping markets.
Rights: Crown Copyright © 2011 Published by Elsevier Ltd. All rights reserved.
NOTICE: this is the author’s version of a work that was accepted for publication in Transportation research part E: logistics and transportation review. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Transportation research part E: logistics and transportation review, vol. 47, no. 6, p. 983-991, DOI: 10.1016/j.tre.2011.05.008
Type: Journal/Magazine Article
URI: http://hdl.handle.net/10397/4841
DOI: 10.1016/j.tre.2011.05.008
ISSN: 1366-5545
Appears in Collections:LMS Journal/Magazine Articles

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