An analysis of freight rate volatility in dry bulk shipping markets

The world bulk shipping market has been in a peak period since 2003, and this has lasted an incredibly long time considering that the markets are much more complex than before. This paper investigates the characteristics of volatility in dry bulk freight rates of different vessel sizes (capesize, panamax and handysize). The daily returns of freight rate indices of three different types of bulk vessel in the sample period have been examined. The sample period ran from 1 March 1999 to 23 December 2005, and applying the GARCH (generalized auto regressive conditional heteroskedasticity) model showed that the shocks will not decrease but have the tendency to strengthen for all the daily return series. Further, external shocks on the market have a different magnitude of influence on volatility in different types of vessels due to their distinct flexibility. To examine the asymmetric characters of daily return volatility in different bulk shipping sectors and different market conditions, the sample was divided into two periods: one is from 1 March 1999 to 31 December 2002, the other is from 1 January 2003 to 23 December 2005; the EGARCH (exponential generalized auto regressive conditional heteroskedasticity) model was then applied to investigate the asymmetric impact between past innovations and current volatility. The results show that the asymmetric characters are distinct for different vessel size segments and different market conditions. The reasons for the results are discussed and it is considered that the main reasons may be the different flexibility and different commodity transport on different routes. The results from this investigation will be useful for the operators and investors in the dry bulk shipping market to increase profitability and reduce investment risk.     

Price and volume dynamics in second-hand dry bulk and tanker shipping markets

The relationship between trading volume, prices and return volatility is thoroughly investigated in different second-hand dry bulk and tanker market segments. The objective is to gain fruitful insight on the sale and purchase market dynamics, and the sensitivity of vessel price movements following the arrival of new information signals in the shipping markets. Contemporaneous relationships are identified between returns and volume, particularly in the markets of handysize and panamax bulks as well as of handysize and aframax tankers. Price changes are found to have an impact on trading volume indicating that expectations to higher capital gains induce increases in trading activity. Volume appears to have a negative impact on the volatility of price changes mainly in the dry bulk market; this may be due to thin trading, limited transaction transparency and absence of vessel price quotes. The empirical findings can contribute to a better understanding of shipping markets' microstructure and price volatility dynamics by market participants. This, in turn, can be useful for investors who construct their portfolios of real assets with a view to attain superior capital gains, controlling for the underlying investment risk.     

Price and volume dynamics in second-hand dry bulk and tanker shipping markets

The relationship between trading volume, prices and return volatility is thoroughly investigated in different second-hand dry bulk and tanker market segments. The objective is to gain fruitful insight on the sale and purchase market dynamics, and the sensitivity of vessel price movements following the arrival of new information signals in the shipping markets. Contemporaneous relationships are identified between returns and volume, particularly in the markets of handysize and panamax bulks as well as of handysize and aframax tankers. Price changes are found to have an impact on trading volume indicating that expectations to higher capital gains induce increases in trading activity. Volume appears to have a negative impact on the volatility of price changes mainly in the dry bulk market; this may be due to thin trading, limited transaction transparency and absence of vessel price quotes. The empirical findings can contribute to a better understanding of shipping markets’ microstructure and price volatility dynamics by market participants. This, in turn, can be useful for investors who construct their portfolios of real assets with a view to attain superior capital gains, controlling for the underlying investment risk.     

航运市场周期理论与当今干散货航运市场变化

2008年,国际干散货航运市场遭遇前所未有的“跳水式”下跌。波罗的海航运交易所干散货运价指数（BDI）从2008年5月20日的11793点跌至2008年12月5日的663点,6．5个月内下降率达94％。许多航运界人士从2002年下半年开始的干散货航运市场持续上升的“好梦”中惊醒。虽然在这期间市场也有过几次波动,但一直到2008年下半年,运价一直在高水平基础上呈持续上升趋势,其上升幅度之大、持续时间之长几乎是史无前例酌．     

香港国际航运中心的未来

香港自150年前开埠以来，一直是亚太地区的国际航运中心。以2006年底的数字为例，香港的港口集装箱吞吐量高达2354万TEU，新国际机场的货运量高达358万吨，两项指标均列世界第二位，继续保持区域内的领先地位。     

上海:亟盼航运高端人才

一、上海国际航运高端人才现状分析 1．上海国际航运高端人才的界定根据未来上海国际航运中心的定位、功能以及产业支撑,按专业化程度来分,上海所需要的航运人才分为三类。     

Predictability of the dry bulk shipping market by BIFFEX

When BIFFEX (Baltic International Freight Futures Exchange) came ijnto existence in 1985, many critics were perssimistic that it would have a successful future. In spite of the eight year's surival of BIFFEX, a recent empirical study shows that BIFFEX is not widely used a s a hedging tool ijn the shipping community, unlike the expectations and recommendations of many experts. one reason could be that BIFFEX may not be considered peredictive of the physical market and, therefore, investors might be suspicious of the hedging effect. The objective of this paper is to test this argument by exdamining the predicatability of BIFFEX in the dry bulk shipping market up to six months. Prior to the real situation, the explainable power ranges from 90% in a one-month advance to 23% in a six-month advance.     

国际干散货航运市场回顾与展望

自2003年10月份以来,国际干散货航运市场表现十分强劲,但从2005年的BDI指数走势来看,这种高景气度已有明显的见顶迹象,对于国际干散货航运市场能否持续高涨的行情,说法众多不一。首先对国际干散货航运市场进行回顾,并针对与干散货航运市场关系密切的世界经济以及国际干散货航运市场供需两方面进行分析,最后对2006年国际干散货航运市场的发展加以展望。     

An econometric analysis for container shipping market

This article presents an econometric analysis for the fluctuation of the container freight rate due to the interactions between the demand for container transportation services and the container fleet capacity. The demand is derived from international trade and is assumed to be exogenous, while the fleet capacity increases with new orders made two years before, proportional to the industrial profit. Assuming the market clears each year, the shipping freight rate will change with the relative magnitude of shifts in the demand and fleet capacity.

This model is estimated using the world container shipping market statistics from 1980 to 2008, applying the three-stage least square method. The estimated parameters of the model have high statistical significance, and the overall explanatory power of the model is above 90%. The short-term in-sample prediction of the model can largely replicate the container shipping market fluctuation in terms of the fleet size dynamics and the freight rate fluctuation in the past 20 years. The prediction of the future market trend reveals that the container freight rate should continue to decrease in the coming three years if the demand for container transportation services grows at less than 8%.     

Market efficiency within dry bulk markets in the short run: a multi-agent system dynamics Nash equilibrium

In this paper, we assess the Efficient Market Hypothesis (EMH) in relation to dry bulk shipping in the short run. The aim is to explain why freight rates in the different ship segments are highly correlated. By building a system dynamics model, which is well-suited to modelling complex and stochastic processes with limited data availability, we attempt to track the arbitrage process in which the different ship types (Handy, Panamax and Capesize) literally seek to transport each others’ cargoes (substitution) when this is beneficial. Also, within one ship segment, we govern the arbitrage opportunities arising from regional differences in freight rates. Although the EMH is ever more contested in the maritime literature, holistic and analytical proof is provided that efficiency is maintained through the intrinsic arbitrage free and evolutionary behaviour in the system towards the Nash equilibrium.     

干散货航运市场的过去和未来

过去鲜为人知的BDI这个词，如今已经成为经济学界耳熟能详的热门词，可见干散货航运市场的影响已超出了航运界本身。去年下半年以来，干散货航运业出现了单边下滑，并成为实体经济中最大的重灾区。不少业内外人士都把BDI的大幅下滑主要归因于金融危机，认为都是“海啸”惹的祸。其实并不尽然。     

国际干散货运输市场月评

(2021年1月)国际干散货运输市场整体表现淡季不淡,市场行情明显好于上年同期,运价水平同比有较大的增长。具体来看:上半月,受益于国内寒冷天气导致运力周转放缓,即期运力紧张;铁矿石货盘较多,寒潮刺激用煤需求较高,南美粮食船运需求增加,三大船型租金同步上行。     

国际干散货运输市场月评

（2018年2月） 2018年2月,国际干散货运输市场运价较上期上涨,同时由于供需面改善,运价水平也明显高于上年同期。分船型来看,海岬型船市场行情振荡上行后有所下调,巴拿马型船和超灵便型船市场先抑后扬。2月28日,上海航运交易所发布的远东干散货综合指数、运价指数和租金指数分别报收于950.83点、832.18点和1 128.81点,分别较上期末上涨5.4%、3.0%和8.2%,     

国际干散货运输市场月评

(2020年12月)国际干散货运输市场总体运价水平好于上期,好望角型船航运市场运价水平略好于上期,但明显低于上年同期;巴拿马型船和超灵便型船航运市场在煤炭等货盘拉动下的表现超市场预期,平均运价水平高于上期及上年同期。远东干散货指数综合指数呈先扬后抑走势,在中小型船运价的拉动下,本期总体水平略高于上期。     

国际干散货运输市场月评

(2021年2月)1月份国际干散货运输市场淡季不淡,虽然2月处于国内春节假期,分船型市场表现各异,但运输市场总体行情依然振奋人心,尤其是中小型船表现异常火爆,淡季超旺。好望角型船市场受天气等因素影响,市场表现差于上期;巴拿马型船和超灵便型船市场则在巴西压港、粮食交投活跃、大西洋市场煤炭活跃,恶劣天气导致周转放缓、FFA远期合约价格上涨等因素下,租金水平创历史新高。本期远东干散货指数综合指数先抑后扬.     

沿海干散货运输市场预测及建议

通过数据详尽分析2009年沿海干散货运输市场的水运形势,同时根据电力行业、钢铁行业的发展对未来2-3年中国煤炭需求、金属矿石需求和干散货运输市场进行预测,建议重视集疏运系统建设,签订长期协议,提高合同兑现率。