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Does Weight matter? A Statistical analysis of the SSY Capesize index

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  • D.R. Glen
  • P. Rogers

Abstract

This paper examines the statistical properties of 19 dry cargo rate series, which are used in the construction of index numbers measuring dry cargo market conditions for Capesize vessels. It is shown that the series are extremely highly correlated. They are also non-stationary. The presence of cointegration is established. It is argued that this implies that rebasing the index numbers using different weights makes little difference to the information derived from the index itself, because of the high correlation between the series and the presence of cointegration. Changing the weighting structure does not alter the information derived from the index in any material way because of these properties.

Suggested Citation

  • D.R. Glen & P. Rogers, 1997. "Does Weight matter? A Statistical analysis of the SSY Capesize index," Maritime Policy & Management, Taylor & Francis Journals, vol. 24(4), pages 351-364, January.
    • Handle: RePEc:taf:marpmg:v:24:y:1997:i:4:p:351-364
    DOI: 10.1080/03088839700000043
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    Cited by:

    1. Jostein Tvedt, 2003. "A new perspective on price dynamics of the dry bulk market," Maritime Policy & Management, Taylor & Francis Journals, vol. 30(3), pages 221-230, July.
    2. Roar Adland & David Hansson & Levin von der Wense, 2017. "Valuing cargo flexibility in oil transportation," Maritime Policy & Management, Taylor & Francis Journals, vol. 44(7), pages 803-814, October.
    3. Prochazka, Vit & Adland, Roar & Wallace, Stein W., 2019. "The value of foresight in the drybulk freight market," Transportation Research Part A: Policy and Practice, Elsevier, vol. 129(C), pages 232-245.
    4. Su-Han Woo & Hee-Seok Bang & Sally Martin & Kevin X. Li, 2013. "Evolution of research themes in Maritime Policy & Management—1973--2012," Maritime Policy & Management, Taylor & Francis Journals, vol. 40(3), pages 200-225, May.
    5. Adland, Roar & Benth, Fred Espen & Koekebakker, Steen, 2018. "Multivariate modeling and analysis of regional ocean freight rates," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 113(C), pages 194-221.
    6. Javier Población, 2017. "Are recent tanker freight rates stationary?," Maritime Economics & Logistics, Palgrave Macmillan;International Association of Maritime Economists (IAME), vol. 19(4), pages 650-666, December.

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