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A new perspective on price dynamics of the dry bulk market

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  • Jostein Tvedt

Abstract

The main result of this article is that freight rates and second hand prices in the dry bulk market seem to be stationary. By unit-root tests, an established tool for testing for random walk in economic time series, the random walk hypothesis can be rejected in most cases for the freight rate samples. This result is in contrast to the findings of a number of papers during the 1990s. However, the results confirm classical shipping market models that indicate stationarity in freight rates, which is not the case if the freight rates follow a random walk. By transforming all observations from US$ to Japanese yen detrended freight rates and prices seem to become stationary and volatility is reduced.

Suggested Citation

  • 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.
    • Handle: RePEc:taf:marpmg:v:30:y:2003:i:3:p:221-230
    DOI: 10.1080/0308883032000133413
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    References listed on IDEAS

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    1. Manolis Kavussanos, 1997. "The dynamics of time-varying volatilities in different size second-hand ship prices of the dry-cargo sector," Applied Economics, Taylor & Francis Journals, vol. 29(4), pages 433-443.
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    5. 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.
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    1. Albert W. Veenstra & Sébastien De La Fosse, 2006. "Contributions to maritime economics—Zenon S. Zannetos, the theory of oil tankship rates," Maritime Policy & Management, Taylor & Francis Journals, vol. 33(1), pages 61-73, February.
    2. Heij, C. & Knapp, S., 2012. "Dynamics in the dry bulk market," Econometric Institute Research Papers EI 2012-18, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    3. Zhang, Xin & Podobnik, Boris & Kenett, Dror Y. & Eugene Stanley, H., 2014. "Systemic risk and causality dynamics of the world international shipping market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 415(C), pages 43-53.
    4. Javier Población & Gregorio Serna, 2018. "A common long-term trend for bulk shipping prices," Maritime Economics & Logistics, Palgrave Macmillan;International Association of Maritime Economists (IAME), vol. 20(3), pages 421-432, September.
    5. Todorut, Amalia Venera & Paliu-Popa, Lucia & Cirnu, Doru, 2016. "Interdependence between iron ore production and maritime transport," MPRA Paper 87385, University Library of Munich, Germany.
    6. Nikolaos D. Geomelos & Evangelos Xideas, 2017. "Econometric estimation of second-hand shipping markets using panel data analysis," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 67(1), pages 7-21, January-M.
    7. Liu, Junlin & Chen, Feier, 2018. "Asymmetric volatility varies in different dry bulk freight rate markets under structure breaks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 316-327.
    8. Glen, D.R. & Martin, B.T., 2004. "2. A Survey Of The Modelling Of Dry Bulk And Tanker Markets," Research in Transportation Economics, Elsevier, vol. 12(1), pages 19-64, January.
    9. Koichiro Hayashi, 2020. "Stationarity of spot freight rates considering supply/demand effect," Journal of Shipping and Trade, Springer, vol. 5(1), pages 1-9, December.
    10. Li, Tingyi & Xue, Leyang & Chen, Yu & Chen, Feier & Miao, Yuqi & Shao, Xinzeng & Zhang, Chenyi, 2018. "Insights from multifractality analysis of tanker freight market volatility with common external factor of crude oil price," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 374-384.
    11. Syriopoulos, Theodore C., 2007. "Chapter 6 Financing Greek Shipping: Modern Instruments, Methods and Markets," Research in Transportation Economics, Elsevier, vol. 21(1), pages 171-219, January.
    12. 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.
    13. Javier Población & Gregorio Serna, 2021. "Measuring bulk shipping prices risk," Maritime Economics & Logistics, Palgrave Macmillan;International Association of Maritime Economists (IAME), vol. 23(2), pages 291-309, June.

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