Testing a speculative bubble in the dry bulk shipping market: a multi-factor approach
by Luca Cocconcelli; Francesca Medda
International Journal of Decision Sciences, Risk and Management (IJDSRM), Vol. 6, No. 3, 2016

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.

Online publication date: Fri, 14-Oct-2016

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