Economics at your fingertips  

Portfolio Diversification Benefits In Shipping Industry: A Cointegration Approach

Sinem Derindere Koseoglu and Ali Ozgür Karagülle

The Review of Finance and Banking, 2013, vol. 05, issue 2, 017-128

Abstract: This study examines the possibility of risk reduction benefits for bulk shipping sector from diversification between 2002 and 2011 by using weekly data. Multivariate cointegration as well as correlation analysis is used in order to investigate whether there are benefits from different vessel diversification. One year time charter rates of ten different ship types, both tankers and dry bulkers, are obtained for this purpose. Both cointegration and correlation analysis show that risk reduction benefits can be achieved from diversified fleet in some cases. According to the cointegration analysis, we cannot reject the null hypothesis of no cointegration in most bivariate vessel combinations, however not both of them should be bulk carriers, thus constructing vessel portfolio, which includes only dry bulkers, does not lead to any risk reduction benefits. This means that in case of bulk carriers series the Johansen test revealed zero cointegrating vectors. Furthermore, diversification benefits are existent in the combination of at most four different vessels, no possibility of risk reduction from portfolios consisting of more than four vessels.

Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link) Full text (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

The Review of Finance and Banking is currently edited by Victor Dragota; Bogdan Negrea

More articles in The Review of Finance and Banking from Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante Strada Mihai Eminescu nr.13-15, sector 1, Bucuresti, Romania. Contact information at EDIRC.
Bibliographic data for series maintained by Tatu Lucian ().

Page updated 2020-12-26
Handle: RePEc:rfb:journl:v:05:y:2013:i:2:p:017-128