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

Gloria Claudio-Quiroga, Luis Alberiko Gil-Alana () and Andoni Maiza-Larrarte
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Gloria Claudio-Quiroga: Universidad Francisco de Vitoria
Luis Alberiko Gil-Alana: Universidad Francisco de Vitoria
Andoni Maiza-Larrarte: University of the Basque Country, UPV/EHU

Journal of Shipping and Trade, 2025, vol. 10, issue 1, 1-17

Abstract: 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.

Keywords: Shanghai Containerized Freight Index; Long memory; Persistence; Fractional integration; Covid-19 (search for similar items in EconPapers)
JEL-codes: B17 C22 R41 (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1186/s41072-025-00211-5

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