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The dynamics of time-varying volatilities in different size second-hand ship prices of the dry-cargo sector

Manolis Kavussanos ()

Applied Economics, 1997, vol. 29, issue 4, 433-443

Abstract: This paper examines the dynamics of conditional volatilities in the world dry-bulk market for second-hand ships. In particular, it models and compares volatility estimates between different size vessels using monthly data. The recently developed class of autoregressive conditional heteroskedasticity (ARCH) models are utilized for this purpose. It is found that broadly speaking prices of small vessels are less volatile than larger ones, and the nature of these volatilities vary across sizes. Panamax volatilities are mostly driven by old 'news', while new shocks are more important for Handysize and Capesize volatilities. Furthermore, conditional volatilities of Handysize and Panamax prices are positively related to interest rates and Capesize to time-charters.

Date: 1997
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