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Volatility spillovers in the dry bulk shipping markets

Author

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  • Totakura Bangar Raju
  • Rishabh Gupta
  • Abhijit Singh

Abstract

Baltic Dry Index over the years has witnessed volatility and been an enigma for ship owners and cargo owners. This study tries to investigate the volatility and spillovers in Dry Baltic sub-indices, namely Handymax, Supramax, Panamax and Capesize. The study uses daily data from August 2012 till July 2019 for seven years. The paper contributes to the literature by applying three different multivariate GARCH models, namely the DCC GARCH model, corrected DCC model, and asymmetric corrected DCC GARCH model. Hosking test is applied to find the best model fit and corrected DCC GARCH model is found to be the best fit. The results bring out many interesting spillovers between the Baltic sub-indices and various factors affecting the same are discussed. China trade factor emerges as the major contributor to various spillovers and volatility in the dry bulk market.

Suggested Citation

  • Totakura Bangar Raju & Rishabh Gupta & Abhijit Singh, 2021. "Volatility spillovers in the dry bulk shipping markets," International Journal of Logistics Economics and Globalisation, Inderscience Enterprises Ltd, vol. 9(1), pages 58-79.
    • Handle: RePEc:ids:injleg:v:9:y:2021:i:1:p:58-79
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    Cited by:

    1. Shi, Wenming & Gong, Yuting & Yin, Jingbo & Nguyen, Son & Liu, Qian, 2022. "Determinants of dynamic dependence between the crude oil and tanker freight markets: A mixed-frequency data sampling copula model," Energy, Elsevier, vol. 254(PB).

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