Estimation of World Maritime Trade Volatility with Day of the Week Anomaly: Baltic Dry Index Application

Erkan Işığıçok; Savaş Tarkun

doi:10.18613/deudfd.1279863

TR EN

Estimation of World Maritime Trade Volatility with Day of the Week Anomaly: Baltic Dry Index Application

Abstract

The shipment of raw materials in the world by sea and the volatility in the Baltic Dry Index (BDI), which is the subject of this trade, and the day anomaly are two important issues. Although there are studies on BDI volatility in the literature, there are not many studies on the day anomaly related to BDI. The aim of this study is to reveal the volatility of the BDI variable used in determining the volume of world maritime trade and to determine the day of the week that causes this volatility. Data of the study includes the observation values for 262 working days for the period of 01 July 2021 – 01 July 2022. By taking the natural logarithmic differences of BDI data, the rate of return of the BDI index was obtained. Using these rates of return, experiments were conducted with various autoregressive conditional heteroscedasticity models and according to the findings obtained, it was concluded that there was an ARCH effect in the BDI variable, that Tuesday had an effect on increasing the volatility in the index and Friday had a decreasing effect.

Keywords

Heteroskedasticity, Volatility, ARCH Effect, Anomaly, Baltic Dry Index

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Data Source: https://www.investing.com/indices/baltic-dry

Details

Primary Language

English

Subjects

Business Administration

Journal Section

Research Article

Authors

Erkan Işığıçok
0000-0003-4037-0869
Türkiye

Savaş Tarkun ^*
0000-0002-2684-184X
Türkiye

Publication Date

December 29, 2023

Submission Date

April 9, 2023

Acceptance Date

October 22, 2023

Published in Issue

Year 2023 Volume: 15 Number: 2

DOI

https://doi.org/10.18613/deudfd.1279863

IZ

https://izlik.org/JA99MC88AR

APA

Işığıçok, E., & Tarkun, S. (2023). Estimation of World Maritime Trade Volatility with Day of the Week Anomaly: Baltic Dry Index Application. Dokuz Eylül Üniversitesi Denizcilik Fakültesi Dergisi, 15(2), 166-188. https://doi.org/10.18613/deudfd.1279863

AMA

1.Işığıçok E, Tarkun S. Estimation of World Maritime Trade Volatility with Day of the Week Anomaly: Baltic Dry Index Application. Dokuz Eylül Üniversitesi Denizcilik Fakültesi Dergisi. 2023;15(2):166-188. doi:10.18613/deudfd.1279863

Chicago

Işığıçok, Erkan, and Savaş Tarkun. 2023. “Estimation of World Maritime Trade Volatility With Day of the Week Anomaly: Baltic Dry Index Application”. Dokuz Eylül Üniversitesi Denizcilik Fakültesi Dergisi 15 (2): 166-88. https://doi.org/10.18613/deudfd.1279863.

EndNote

Işığıçok E, Tarkun S (December 1, 2023) Estimation of World Maritime Trade Volatility with Day of the Week Anomaly: Baltic Dry Index Application. Dokuz Eylül Üniversitesi Denizcilik Fakültesi Dergisi 15 2 166–188.

IEEE

[1]E. Işığıçok and S. Tarkun, “Estimation of World Maritime Trade Volatility with Day of the Week Anomaly: Baltic Dry Index Application”, Dokuz Eylül Üniversitesi Denizcilik Fakültesi Dergisi, vol. 15, no. 2, pp. 166–188, Dec. 2023, doi: 10.18613/deudfd.1279863.

ISNAD

Işığıçok, Erkan - Tarkun, Savaş. “Estimation of World Maritime Trade Volatility With Day of the Week Anomaly: Baltic Dry Index Application”. Dokuz Eylül Üniversitesi Denizcilik Fakültesi Dergisi 15/2 (December 1, 2023): 166-188. https://doi.org/10.18613/deudfd.1279863.

JAMA

1.Işığıçok E, Tarkun S. Estimation of World Maritime Trade Volatility with Day of the Week Anomaly: Baltic Dry Index Application. Dokuz Eylül Üniversitesi Denizcilik Fakültesi Dergisi. 2023;15:166–188.

MLA

Işığıçok, Erkan, and Savaş Tarkun. “Estimation of World Maritime Trade Volatility With Day of the Week Anomaly: Baltic Dry Index Application”. Dokuz Eylül Üniversitesi Denizcilik Fakültesi Dergisi, vol. 15, no. 2, Dec. 2023, pp. 166-88, doi:10.18613/deudfd.1279863.

Vancouver

1.Erkan Işığıçok, Savaş Tarkun. Estimation of World Maritime Trade Volatility with Day of the Week Anomaly: Baltic Dry Index Application. Dokuz Eylül Üniversitesi Denizcilik Fakültesi Dergisi. 2023 Dec. 1;15(2):166-88. doi:10.18613/deudfd.1279863

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Estimation of World Maritime Trade Volatility with Day of the Week Anomaly: Baltic Dry Index Application

Haftanın Günü Anomalisi ile Dünya Deniz Ticareti Oynaklığının Tahmini: Baltık Kuru Yük Endeksi Uygulaması

Abstract

Keywords

Estimation of World Maritime Trade Volatility with Day of the Week Anomaly: Baltic Dry Index Application

Abstract

Keywords

References

Details

Primary Language

Subjects

Journal Section

Authors

Publication Date

Submission Date

Acceptance Date

Published in Issue

DOI

IZ

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