IDEAS home Printed from https://ideas.repec.org/a/cmc/annals/v20y2013i2p199-204.html
   My bibliography  Save this article

An empirical analysis of bidirectional relationships between various components of Baltic supramax index

Author

Listed:
  • Batrinca Ghiorghe

    (Constanta Maritime University Romania)

  • Cojanu Gianina

    (Constanta Maritime University Romania)

  • Surugiu Ioana

    (Constanta Maritime University Romania)

Abstract

In shipping, the freight market represents the adjustment mechanism linking supply and demand. Most of the times, the time charter level is a consequence of the equilibrium between demand and supply of ships in the area, but there are also situations when the market raises significantly in an area and, as a consequence, vessels situated at a shorter or a longer distance from that area are ballasting toward the hot area, shattering the equilibrium. The purpose of this study is to assess the bidirectional relationships between various components of Baltic Supramax Index by applying vector autoregressive models

Suggested Citation

  • Batrinca Ghiorghe & Cojanu Gianina & Surugiu Ioana, 2013. "An empirical analysis of bidirectional relationships between various components of Baltic supramax index," Constanta Maritime University Annals, Constanta Maritime University, vol. 20(2), pages 199-204.
    • Handle: RePEc:cmc:annals:v:20:y:2013:i:2:p:199-204
    as

    Download full text from publisher

    File URL: http://cmu-edu.eu/RePEc/cmc/annals/199-v20.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Amir H. Alizadeh & Nikos K. Nomikos, 2009. "Shipping Derivatives and Risk Management," Palgrave Macmillan Books, Palgrave Macmillan, number 978-0-230-23580-9, December.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Xueni Gou & Jasmine Siu Lee Lam, 2019. "Risk analysis of marine cargoes and major port disruptions," Maritime Economics & Logistics, Palgrave Macmillan;International Association of Maritime Economists (IAME), vol. 21(4), pages 497-523, December.
    2. Hossein Jafari & Ghazaleh Rahimi, 2018. "Forecasting dirty tanker freight rate index by using stochastic differential equations," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(04), pages 1-15, December.
    3. Mitroussi, K. & Abouarghoub, W. & Haider, J.J. & Pettit, S.J. & Tigka, N., 2016. "Performance drivers of shipping loans: An empirical investigation," International Journal of Production Economics, Elsevier, vol. 171(P3), pages 438-452.
    4. Sunil K. Mohanty & Roar Aadland & Sjur Westgaard & Stein Frydenberg & Hilde Lillienskiold & Cecilie Kristensen, 2021. "Modelling Stock Returns and Risk Management in the Shipping Industry," JRFM, MDPI, vol. 14(4), pages 1-25, April.
    5. Orestis Schinas & Niklas Bergmann, 2021. "The Short-Term Cost of Greening the Global Fleet," Sustainability, MDPI, vol. 13(16), pages 1-32, August.
    6. Zhou, Yusheng & Li, Xue & Yuen, Kum Fai, 2022. "Holistic risk assessment of container shipping service based on Bayesian Network Modelling," Reliability Engineering and System Safety, Elsevier, vol. 220(C).
    7. Lourdes Gómez‐Valle & Ioannis Kyriakou & Julia Martínez‐Rodríguez & Nikos K. Nomikos, 2021. "Estimating risk‐neutral freight rate dynamics: A nonparametric approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(11), pages 1824-1842, November.
    8. Tsouknidis, Dimitris A., 2016. "Dynamic volatility spillovers across shipping freight markets," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 91(C), pages 90-111.
    9. Fred Espen Benth & Sara Ana Solanilla Blanco, 2015. "Forward Prices As Functionals Of The Spot Path In Commodity Markets Modeled By Levy Semistationary Processes," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(02), pages 1-35.
    10. Yingying Kang & Rajan Batta & Changhyun Kwon, 2014. "Value-at-Risk model for hazardous material transportation," Annals of Operations Research, Springer, vol. 222(1), pages 361-387, November.
    11. Giamouzi, Maria & Nomikos, Nikos K, 2021. "Identifying shipowners’ risk attitudes over gains and losses: Evidence from the dry bulk freight market," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 145(C).
    12. Johansen, Stephan & Wilson, William & Dahl, Bruce L., 2015. "Valuing Switching Options in International Grain Marketing," Agribusiness & Applied Economics Report 201309, North Dakota State University, Department of Agribusiness and Applied Economics.
    13. Skantzouri, Efthymia Nefeli & Sambracos, Evangelos, 2018. "Freight Rate Volatility and Vessels Size in Tankers’ Sector," MPRA Paper 97896, University Library of Munich, Germany, revised 25 Nov 2019.
    14. Ko, Byoung-Wook, 2018. "Dynamic patterns of dry bulk freight spot rates through the lens of a time-varying coefficient model," Transportation Research Part A: Policy and Practice, Elsevier, vol. 118(C), pages 319-330.
    15. Sel, Burakhan & Minner, Stefan, 2022. "A hedging policy for seaborne forward freight markets based on probabilistic forecasts," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 166(C).
    16. Alizadeh, Amir H. & Huang, Chih-Yueh & van Dellen, Stefan, 2015. "A regime switching approach for hedging tanker shipping freight rates," Energy Economics, Elsevier, vol. 49(C), pages 44-59.
    17. Pouliasis, Panos K. & Papapostolou, Nikos C. & Kyriakou, Ioannis & Visvikis, Ilias D., 2018. "Shipping equity risk behavior and portfolio management," Transportation Research Part A: Policy and Practice, Elsevier, vol. 116(C), pages 178-200.
    18. Sun, Xiaolin & Haralambides, Hercules & Liu, Hailong, 2019. "Dynamic spillover effects among derivative markets in tanker shipping," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 122(C), pages 384-409.
    19. Roar Adland & Haakon Ameln & Eirik A. Børnes, 2020. "Hedging ship price risk using freight derivatives in the drybulk market," Journal of Shipping and Trade, Springer, vol. 5(1), pages 1-18, December.
    20. William W. Wilson & Jesse Klebe, 2021. "Commodity procurement as contingent claims: Capturing risk and real options in flour milling," Agribusiness, John Wiley & Sons, Ltd., vol. 37(2), pages 348-370, April.

    More about this item

    JEL classification:

    • R0 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General
    • R4 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Transportation Economics

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cmc:annals:v:20:y:2013:i:2:p:199-204. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Georgiana Buzu (email available below). General contact details of provider: http://cmu-edu.eu .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.