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The Relatıonshıp Between Baltıc Dry Index and Dow Jones Iron - Steel Index

Year 2020, , 3019 - 3033, 30.09.2020
https://doi.org/10.15869/itobiad.700223

Abstract

The Baltic dry index is reported daily by the Baltic Exchange in London. Also called Baltic exchange dry index (BDI) or Dry Bulk Index, this index, is used as a reference point for dry freight, carriage transportation costs, is published by the Baltic Exchange Market, which is the data provider of the maritime industry in London. BDI is not limited to the Baltic Sea countries or a few commodities such as crude oil. The Baltic Dry Index is a freight price index for transporting coal, iron ore, grains and many more commodities on 23 different routes. The BDI will increase when the demand for bulk cargo is greater than the supply of ship capacity. In contrast, when the supply of ship capacity is larger than the demand for bulk cargo transportation, the Baltic dry cargo index will decrease
The purpose of this study is to investigate the relationship between the BDİ and the Dow Jones Iron-Steel index. For this purpose using the 526 weekly data between 04.05.2009 and 11.08.2019,, the long-term cointegration and causality relationships between the BDI and the Dow Jones Iron-Steel index was examined. The long-term cointegration relationship between the indexes was examined using Fourier ADL cointegration test developed by Banerjee et al. (2017). The causality relationship between the indexes was examined using Rolling Window method (Balcılar et al., 2010)., which provides the opportunity to examine causality by period. In this method, the time interval analyzed is divided into sub periods and separate test statistics are obtained for each sub period. The findings of this econometric analysis revealed a long-term cointegration relationship between BDI and Dow Jones index. In addition, the Rolling Window causality test indicated that the relationship between the BDI and Dow Jones index varies over time.

References

  • Bakshi Gurdip; Panayotov George; Skoulakis Georgios, (2011). The Baltic Dry Index As A Predictor Of Global Stock Returns, Commodity Returns, And Global Economic Activity. Ssrn: Https://Ssrn.Com/Abstract=1747345 Or Http://Dx.Doi.Org/10.2139/Ssrn.1747345
  • Balcilar, Mehmet; Ozdemir Zeynel Abidin; Arslanturk Yalçin, (2010). Economic Growth And Energy Consumption Causal Nexus Viewed Through A Bootstrap Rolling Window. Energy Economics, 32(6), 1398-1410.
  • Banerjee, Piyali; Arčabić, Vladimir; Lee, Hyejin (2017). Fourier Adl Cointegration Test To Approximate Smooth Breaks With New Evidence From Crude Oil Market. Economic Modelling, 67, 114-124.
  • Bildirici, Melike E.; Kayikçi, Fazıl; Onat, Işıl Şahin (2015). Baltic Dry Index As A Major Economic Policy İndicator: The Relationship With Economic Growth. Procedia-Social And Behavioral Sciences, 210, 416-424.
  • Chou, Chien-Chang; Lin, Keng-Shou. (2018). A Fuzzy Neural Network Combined With Technical Indicators And Its Application To Baltic Dry Index Forecasting. Journal Of Marine Engineering & Technology, 18(2) 82-91
  • Enders, Walter; Lee, Junsoo (2012). A Unit Root Test Using A Fourier Series To Approximate Smooth Breaks. Oxford Bulletin Of Economics And Statistics, 74(4), 574-599.
  • Ersöz Taner; Düğenci Muharrem; Ünver, Muharrem; Eyiol Berkay. (2015). Demir Çelik Sektörüne Genel Bir Bakış Ve Beş Milyon Ton Üstü Demir Çelik İhracatı Yapan Ülkelerin Kümeleme Analizi İle İncelenmesi. Nevşehir Bilim Ve Teknoloji Dergisi , 4 (2).75-90
  • Jones, Kent (1986). Politics Vs Economics İn World Steel Trade. Allen & Unwin (Publishers) Ltd.
  • Konak, Ali; Kamacı, Ahmet (2019). Effects Of Iron-Steel Sector On Global Competıtıon, Economıc Growth And Unemployment. Yönetim Ve Ekonomi , 26 (1).49-70
  • Singha, Kumar R.; Murtya H.Ramalinga; Gupta Sudhir Kumar; Dikshitb Anıl Kumar. (2007). Development Of Composite Sustainability Performance Index For Steel Industry. Ecological Indicators .7(3),565-588
  • Lın, Arthur J.; Chang, Hai Yen; Hsıao, Jung Lieh (2019). Does The Baltic Dry Index Drive Volatility Spillovers İn The Commodities, Currency, Or Stock Markets?. Transportation Research Part E: Logistics And Transportation Review, 127, 265-283.
  • Lın, Yueh-Ju; Wang, Chi-Chen.(2014), ''The Dynamic Analysis Of Baltic Exchange Dry İndex''. In: International Mathematical Forum. P. 803-823.
  • Manoharan, M., & Visalakshmi, S. (2019). The İnterrelation Between Baltic Dry Index A Practical Economic İndicator And Emerging Stock Market İndices. Afro-Asian Journal Of Finance And Accounting, 9(2), 213-224.
  • Ruan, Qingsong; Wang Yao; Lu, Xinsheng; Qin Jing ,(2016), ‘’Cross-Correlations Between Baltic Dry Index And Crude Oil Prices. Physica A. Statistical Mechanics And İts Applications, 453: 278-289.
  • Yellıshetty, Mohan; Ranjıth, P. G.; Tharumarajah, A.(2010), Iron Ore And Steel Production Trends And Material Flows İn The World: Is This Really Sustainable?. Resources, Conservation And Recycling, 54(12) 1084-1094.
  • https://tradingeconomics.com/commodity/baltic. (2020, 02 16). Baltic Exchange Dry Index: https://tradingeconomics.com/commodity/baltic adresinden alınmıştır

Baltık Kuru Yük Endeksi e Dow Jones Demir- Çelik Endeksi Arasındaki İlişki

Year 2020, , 3019 - 3033, 30.09.2020
https://doi.org/10.15869/itobiad.700223

Abstract

Baltık kuru yük endeksi her gün Londra'daki Baltık Borsası tarafından rapor edilmektedir. Endeks, hammaddelerin deniz yoluyla taşınmasında verilecek navlun fiyatları için referans olmaktadır. Baltık kuru yük endeksi, Baltık Denizi ülkeleriyle veya ham petrol gibi birkaç emtia ile sınırlı değildir. Baltık kuru yük endeksi kömür, demir cevheri, tahıllar ve daha birçok emtianın 23 farklı rotada taşınması ile ilgili olarak oluşan bir navlun fiyatı endeksidir. Baltık kuru yük endeksi, dökme yük taşımacılığı talebi gemi kapasitesi arzından daha büyük olduğunda artacaktır.
Bu çalışmanın amacı; Baltık kuru yük endeksi (BDI) ve Dow Jones Demir-Çelik endeksi arasındaki ilişkisinin incelenmesidir. Bu amaçla 04.05.2009 ile 11.08.2019 arasındaki 526 haftalık seriler ile BDI ve Dow Jones demir-çelik endeksi arasındaki uzun dönem ve nedensellik ilişkisi incelenmiştir. BDI ve Dow Jones Demir-Çelik endeksi arasındaki uzun dönem ilişkisi Banerjee vd. (2017) tarafından geliştirilen Fourier ADL eşbütünleşme testi ile incelenmiştir. Nedenselik analizi olarak ise; nedenselliği dönemlere bölerek inceleyen ve Balcılar vd. (2010) tarafından geliştirilen Rolling Window (Kayan Pencereler) yöntemi kullanılmıştır. Bu yöntemde analiz edilen dönem parçalara bölünür ve her parça için ayrı test istatistiği elde edilmektedir. Analiz bulguları incelendiğinde Baltık kuru yük endeksi ve Dow Jones demir– çelik endeksi arasında uzun dönemli bir ilişki tespit edilmiş olup, bu bulgu bu değişkenlerin uzun dönemde beraber hareket ettiğini göstermektedir Nedensellik analizi sonuçlarında ise zaman zaman Baltık Kuru Yük Endeksinden Dow Jones demir- çelik endeksine zaman zaman Dow Jones Demir- Çelik endeksinden Baltık kuru yük endeksine, bazen ise hiç nedensellik ilişkisi ortaya çıkmadığı tespit edilmiştir.  

References

  • Bakshi Gurdip; Panayotov George; Skoulakis Georgios, (2011). The Baltic Dry Index As A Predictor Of Global Stock Returns, Commodity Returns, And Global Economic Activity. Ssrn: Https://Ssrn.Com/Abstract=1747345 Or Http://Dx.Doi.Org/10.2139/Ssrn.1747345
  • Balcilar, Mehmet; Ozdemir Zeynel Abidin; Arslanturk Yalçin, (2010). Economic Growth And Energy Consumption Causal Nexus Viewed Through A Bootstrap Rolling Window. Energy Economics, 32(6), 1398-1410.
  • Banerjee, Piyali; Arčabić, Vladimir; Lee, Hyejin (2017). Fourier Adl Cointegration Test To Approximate Smooth Breaks With New Evidence From Crude Oil Market. Economic Modelling, 67, 114-124.
  • Bildirici, Melike E.; Kayikçi, Fazıl; Onat, Işıl Şahin (2015). Baltic Dry Index As A Major Economic Policy İndicator: The Relationship With Economic Growth. Procedia-Social And Behavioral Sciences, 210, 416-424.
  • Chou, Chien-Chang; Lin, Keng-Shou. (2018). A Fuzzy Neural Network Combined With Technical Indicators And Its Application To Baltic Dry Index Forecasting. Journal Of Marine Engineering & Technology, 18(2) 82-91
  • Enders, Walter; Lee, Junsoo (2012). A Unit Root Test Using A Fourier Series To Approximate Smooth Breaks. Oxford Bulletin Of Economics And Statistics, 74(4), 574-599.
  • Ersöz Taner; Düğenci Muharrem; Ünver, Muharrem; Eyiol Berkay. (2015). Demir Çelik Sektörüne Genel Bir Bakış Ve Beş Milyon Ton Üstü Demir Çelik İhracatı Yapan Ülkelerin Kümeleme Analizi İle İncelenmesi. Nevşehir Bilim Ve Teknoloji Dergisi , 4 (2).75-90
  • Jones, Kent (1986). Politics Vs Economics İn World Steel Trade. Allen & Unwin (Publishers) Ltd.
  • Konak, Ali; Kamacı, Ahmet (2019). Effects Of Iron-Steel Sector On Global Competıtıon, Economıc Growth And Unemployment. Yönetim Ve Ekonomi , 26 (1).49-70
  • Singha, Kumar R.; Murtya H.Ramalinga; Gupta Sudhir Kumar; Dikshitb Anıl Kumar. (2007). Development Of Composite Sustainability Performance Index For Steel Industry. Ecological Indicators .7(3),565-588
  • Lın, Arthur J.; Chang, Hai Yen; Hsıao, Jung Lieh (2019). Does The Baltic Dry Index Drive Volatility Spillovers İn The Commodities, Currency, Or Stock Markets?. Transportation Research Part E: Logistics And Transportation Review, 127, 265-283.
  • Lın, Yueh-Ju; Wang, Chi-Chen.(2014), ''The Dynamic Analysis Of Baltic Exchange Dry İndex''. In: International Mathematical Forum. P. 803-823.
  • Manoharan, M., & Visalakshmi, S. (2019). The İnterrelation Between Baltic Dry Index A Practical Economic İndicator And Emerging Stock Market İndices. Afro-Asian Journal Of Finance And Accounting, 9(2), 213-224.
  • Ruan, Qingsong; Wang Yao; Lu, Xinsheng; Qin Jing ,(2016), ‘’Cross-Correlations Between Baltic Dry Index And Crude Oil Prices. Physica A. Statistical Mechanics And İts Applications, 453: 278-289.
  • Yellıshetty, Mohan; Ranjıth, P. G.; Tharumarajah, A.(2010), Iron Ore And Steel Production Trends And Material Flows İn The World: Is This Really Sustainable?. Resources, Conservation And Recycling, 54(12) 1084-1094.
  • https://tradingeconomics.com/commodity/baltic. (2020, 02 16). Baltic Exchange Dry Index: https://tradingeconomics.com/commodity/baltic adresinden alınmıştır
There are 16 citations in total.

Details

Primary Language Turkish
Subjects Business Administration
Journal Section Articles
Authors

Abdulkadir Barut 0000-0001-8315-9727

Mehmet Ragıp Görgün 0000-0003-1618-3844

Aylin Erdoğdu This is me

Publication Date September 30, 2020
Published in Issue Year 2020

Cite

APA Barut, A., Görgün, M. R., & Erdoğdu, A. (2020). Baltık Kuru Yük Endeksi e Dow Jones Demir- Çelik Endeksi Arasındaki İlişki. İnsan Ve Toplum Bilimleri Araştırmaları Dergisi, 9(3), 3019-3033. https://doi.org/10.15869/itobiad.700223
İnsan ve Toplum Bilimleri Araştırmaları Dergisi  Creative Commons Atıf-GayriTicari 4.0 Uluslararası Lisansı (CC BY NC) ile lisanslanmıştır.