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Testing a speculative bubble in the dry bulk shipping market: a multi-factor approach

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  • Luca Cocconcelli
  • Francesca Medda

Abstract

The dry bulk industry witnessed a boom and bust phase between 2005 and 2010. The aim of this work is to assess whether this pattern was driven by speculation or was a supply and demand outcome. In order to evaluate the presence of speculation, a global multi-factor risk model is implemented to estimate the long-term (cointegration) relationship between freight rates and cargo prices. The empirical results obtained suggest that a speculative period took place in the dry bulk industry between 2005 and 2011.

Suggested Citation

  • Luca Cocconcelli & Francesca Medda, 2016. "Testing a speculative bubble in the dry bulk shipping market: a multi-factor approach," International Journal of Decision Sciences, Risk and Management, Inderscience Enterprises Ltd, vol. 6(3), pages 281-296.
    • Handle: RePEc:ids:ijdsrm:v:6:y:2016:i:3:p:281-296
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