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

Luca Cocconcelli and Francesca Medda

International Journal of Decision Sciences, Risk and Management, 2016, vol. 6, issue 3, 281-296

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.

Keywords: dry bulk cargo; freight rates; cargo prices; speculation; cointegration test; multi-factor analysis; speculative bubbles; dry bulk shipping; shipping industry. (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:ids:ijdsrm:v:6:y:2016:i:3:p:281-296

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