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Measuring the level of risk exposure in tanker shipping freight markets

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  • Wessam Abouarghoub

    (University of the West of England, Bristol)

  • Iris Biefang-Frisancho Mariscal

    (University of the West of England, Bristol)

Abstract

This is an attempt to study the volatility structure of the tanker freight market and its exposure to market shocks. Therefore, we introduce a two state regime to investigate the possibility of two different volatility structures in shipping tanker freight markets. Empirical evidence is found that in general terms, shipping tanker freight returns, shift between two regimes, a high volatility regime and a low volatility regime and that market shocks in general increase the volatility of freight returns and has a lasting effect. In regards to measuring freight risk, it seams that semi-parametric approaches are appropriate methods for measuring level of risk exposure for shipping freight markets.

Suggested Citation

  • Wessam Abouarghoub & Iris Biefang-Frisancho Mariscal, 2013. "Measuring the level of risk exposure in tanker shipping freight markets," Working Papers 20131313, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol.
    • Handle: RePEc:uwe:wpaper:20131313
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    1. Wessam M. T. Abouarghoub & Iris Biefang-Frisancho Mariscal, 2011. "Measuring level of risk exposure in tanker Shipping freight markets," International Journal of Business and Social Research, LAR Center Press, vol. 1(1), pages 20-44, December.
    2. Wessam Abouarghoub & Iris Biefang-Frisancho Mariscal & Peter Howells, 2013. "A two-state Markov-switching distinctive conditional variance application for tanker freight returns," Working Papers 20131314, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol.
    3. Charalampos Basdekis & Apostolos Christopoulos & Alexandros Gkolfinopoulos & Ioannis Katsampoxakis, 2022. "VaR as a risk management framework for the spot and futures tanker markets," Operational Research, Springer, vol. 22(4), pages 4287-4352, September.
    4. Wessam M. T. Abouarghoub & Iris Biefang-Frisancho Mariscal, 2011. "Measuring level of risk exposure in tanker Shipping freight markets," International Journal of Business and Social Research, MIR Center for Socio-Economic Research, vol. 1(1), pages 20-44, December.
    5. Baştuğ, Sedat & Haralambides, Hercules & Akan, Ercan & Kiraci, Kasim, 2023. "Risk mitigation in service industries: A research agenda on container shipping," Transport Policy, Elsevier, vol. 141(C), pages 232-244.

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