Volatility Spillovers in Capesize Forward Freight Agreement Markets
Joint Authors
Source
Issue
Vol. 2016, Issue 2016 (31 Dec. 2016), pp.1-8, 8 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2016-11-22
Country of Publication
Egypt
No. of Pages
8
Main Subjects
Abstract EN
This paper is to investigate spillovers in the Capesize forward freight agreements (FFAs) markets before and after the global financial crisis.
The paper chooses four Capesize voyage routes FFAs (C3, C4, C5, and C7), two time-charter routes FFAs (BCIT/C average, BPI T/C average), and spot rates as research subjects, covering the periods 3 January 2006 to 24 December 2015.
This paper applies Volatility Spillover Multivariate Stochastic Volatility (VS-MSV) model to analyze volatility spillover effects and estimates the parameters via software of Bayesian inference using Gibbs Sampling (BUGS), the deviance information criterion (DIC) used for goodness-of-fit model.
The results suggest that there are volatility spillover effects in certain Capesize FFAs routes, and the effects from spot rates to FFAs take place before crisis, yet they are bilateral after crisis.
With the development of shipping markets, the correlations between FFAs and spot rate are enhanced, and it seems that the effects depend on market information and traders’ behavior.
So practitioners could make decisions according to the spillovers.
American Psychological Association (APA)
Gong, Xiaoxing& Lu, Jing. 2016. Volatility Spillovers in Capesize Forward Freight Agreement Markets. Scientific Programming،Vol. 2016, no. 2016, pp.1-8.
https://search.emarefa.net/detail/BIM-1118371
Modern Language Association (MLA)
Gong, Xiaoxing& Lu, Jing. Volatility Spillovers in Capesize Forward Freight Agreement Markets. Scientific Programming No. 2016 (2016), pp.1-8.
https://search.emarefa.net/detail/BIM-1118371
American Medical Association (AMA)
Gong, Xiaoxing& Lu, Jing. Volatility Spillovers in Capesize Forward Freight Agreement Markets. Scientific Programming. 2016. Vol. 2016, no. 2016, pp.1-8.
https://search.emarefa.net/detail/BIM-1118371
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1118371