Dynamic interrelationships in returns and volatilities between Capesize and Panamax markets
Hilde Meersman and
Eddy van de Voorde
Additional contact information
Shun Chen: Department of Maritime Technology and Transportation, Delft University of Technology, Delft, the Netherlands
Eddy van de Voorde: Department of Transport and Regional Economics, University of Antwerp, Antwerp, Belgium. E-mails: email@example.com; firstname.lastname@example.org
Maritime Economics & Logistics, 2010, vol. 12, issue 1, 65-90
This article investigates the interrelationships in daily returns and volatilities between Capesize and Panamax price series in four major trading routes, the transatlantic, the fronthaul, the transpacific and the backhaul, during the sample period from 1999 to 2008. The sample is split into two sub-periods: the first runs from 3 January 1999 to 24 December 2002 and the second is from 2 January 2003 to 29 August 2008, because of the substantially different economic conditions and market features over each of these periods. Cointegration and causality tests have been made for the price series over two sub-periods and yield mixed results. The volatility spillovers between Capesize and Panamax markets are investigated by employing an extended bivariate ECM-GARCH model. The results, in terms of returns and volatilities, imply that the dynamics between the two markets change across time on different trading routes. The findings of this study contain useful information for both shipowners and charterers to mitigate risks or to make extra profits by switching between the two markets.
References: Add references at CitEc
Citations: View citations in EconPapers (6) Track citations by RSS feed
Downloads: (external link)
http://www.palgrave-journals.com/mel/journal/v12/n1/pdf/mel200919a.pdf Link to full text PDF (application/pdf)
http://www.palgrave-journals.com/mel/journal/v12/n1/full/mel200919a.html Link to full text HTML (text/html)
Access to full text is restricted to subscribers.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:pal:marecl:v:12:y:2010:i:1:p:65-90
Ordering information: This journal article can be ordered from
http://www.springer. ... nt/journal/41278/PS2
Access Statistics for this article
Maritime Economics & Logistics is currently edited by Hercules E. Haralambides
More articles in Maritime Economics & Logistics from Palgrave Macmillan, International Association of Maritime Economists (IAME) Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla ().