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Mean reversion and long memory dynamics in the Shanghai Containerized Freight Index

Author

Listed:
  • Gloria Claudio-Quiroga

    (Universidad Francisco de Vitoria)

  • Luis Alberiko Gil-Alana

    (Universidad Francisco de Vitoria
    University of Navarra)

  • Andoni Maiza-Larrarte

    (University of the Basque Country, UPV/EHU)

Abstract

This paper deals with the investigation of the long memory properties of the Shanghai Containerized Freight Index for the time period from 16 October 2009 to 18 October 2024. Using fractional integration methods, we want to determine if shocks in the series have transitory or permanent effects. The results indicate that the series are very persistent when using the whole sample size with an order of integration above 1. However, if we separate three different subsamples, corresponding to the pre-Covid, Covid and post-Covid periods, we observe reversion to the mean in the pre-Covid period; however, during the Covid, there is a substantial increase in the value of d and turns decreasing after the pandemic.

Suggested Citation

  • Gloria Claudio-Quiroga & Luis Alberiko Gil-Alana & Andoni Maiza-Larrarte, 2025. "Mean reversion and long memory dynamics in the Shanghai Containerized Freight Index," Journal of Shipping and Trade, Springer, vol. 10(1), pages 1-17, December.
    • Handle: RePEc:spr:josatr:v:10:y:2025:i:1:d:10.1186_s41072-025-00211-5
    DOI: 10.1186/s41072-025-00211-5
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    Keywords

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    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • B17 - Schools of Economic Thought and Methodology - - History of Economic Thought through 1925 - - - International Trade and Finance
    • R41 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Transportation Economics - - - Transportation: Demand, Supply, and Congestion; Travel Time; Safety and Accidents; Transportation Noise

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