Authors: Luca Cocconcelli; Francesca Medda
Addresses: QASER Lab, University College London, Chadwick Building – Gower Street, WC1E 6BT, London, UK ' QASER Lab, University College London, Chadwick Building – Gower Street, WC1E 6BT, London, UK
Abstract: The dry bulk industry witnessed a boom and bust phase between 2005 and 2010. The aim of this work is to assess whether this pattern was driven by speculation or was a supply and demand outcome. In order to evaluate the presence of speculation, a global multi-factor risk model is implemented to estimate the long-term (cointegration) relationship between freight rates and cargo prices. The empirical results obtained suggest that a speculative period took place in the dry bulk industry between 2005 and 2011.
Keywords: dry bulk cargo; freight rates; cargo prices; speculation; cointegration test; multi-factor analysis; speculative bubbles; dry bulk shipping; shipping industry.
International Journal of Decision Sciences, Risk and Management, 2016 Vol.6 No.3, pp.281 - 296
Received: 09 Feb 2016
Accepted: 12 Mar 2016
Published online: 13 Oct 2016 *