Title: Volatility spillovers in the dry bulk shipping markets

Authors: Totakura Bangar Raju; Rishabh Gupta; Abhijit Singh

Addresses: School of Business, University of Petroleum and Energy Studies, Kandoli, Dehradun, Uttarakhand State 248001, India ' School of Business, University of Petroleum and Energy Studies, Kandoli, Dehradun, Uttarakhand State 248001, India ' Indian Port Association, 1st Floor, South Tower NBCC Place, Bhisham Pitamah Marg, Lodhi Rd, New Delhi 110003, India

Abstract: Baltic Dry Index over the years has witnessed volatility and been an enigma for ship owners and cargo owners. This study tries to investigate the volatility and spillovers in Dry Baltic sub-indices, namely Handymax, Supramax, Panamax and Capesize. The study uses daily data from August 2012 till July 2019 for seven years. The paper contributes to the literature by applying three different multivariate GARCH models, namely the DCC GARCH model, corrected DCC model, and asymmetric corrected DCC GARCH model. Hosking test is applied to find the best model fit and corrected DCC GARCH model is found to be the best fit. The results bring out many interesting spillovers between the Baltic sub-indices and various factors affecting the same are discussed. China trade factor emerges as the major contributor to various spillovers and volatility in the dry bulk market.

Keywords: spillovers; Baltic Dry Index; BDI; volatility; shipping; GARCH.

DOI: 10.1504/IJLEG.2021.116233

International Journal of Logistics Economics and Globalisation, 2021 Vol.9 No.1, pp.58 - 79

Received: 06 Feb 2021
Accepted: 05 Apr 2021

Published online: 09 Jul 2021 *

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