Year 2020, Volume 1 , Issue 39, Pages 1 - 22 2020-06-30

Risk and Volatility Spillover Between Commodity and Freight Market An Application on Capesize Freight Market

Abdullah AÇIK [1] , Sadık Özlen BAŞER [2]


Uncertainty in freight rates poses great risks for ship and cargo owners. Identifying the factors that affect the volatility of freight is of great importance in reducing risks arising from uncertainty. The aim of this study is to investigate the volatility spillover and risk transmission between commodity prices and freight rates in Capesize market through the causality in variance test. In the study, 3 different transportation routes are included for Capesize freights, while the prices of the 3 main cargo carried in the dry bulk market are considered as commodity prices. Dataset consists of 234 monthly observations and covers the dates between January 2000 and June 2019. According to the results obtained, while unidirectional significant causalities are determined from both iron ore and coal prices to all freight routes, bidirectional significant causalities are determined between wheat prices and freights.
Gemi ve yük sahipleri için navlunlarda yaşanan belirsizlik büyük riskler oluşturmaktadır. Navlunların oynaklığını etkileyen faktörlerin tespit edilmesi, belirsizlikten kaynaklı risklerin azaltılmasında büyük önem arz etmektedir. Bu çalışmanın amacı, emtia fiyatları ile Capesize piyasasındaki navlun fiyatları arasındaki oynaklık yayılımını ve risk transferini varyansta nedensellik testi aracılığıyla incelemektir. Çalışmada Capesize navlunları için 3 farklı taşımacılık rotası içerilirken, emtia fiyatları olarak ise kuru dökme yük piyasasında taşınan 3 ana yükün fiyatları ele alınmaktadır. Veri seti 234 aylık gözlemlerden oluşmaktadır ve Ocak 2000 ile Haziran 2019 dönemi arasını kapsamaktadır. Elde edilen sonuçlara göre hem demir cevheri hem de kömür fiyatlarından tüm navlunlara anlamlı nedensellikler tespit edilmişken, buğday fiyatı ve navlunlar arasında ise karşılıklı anlamlı nedensellikler tespit edilmiştir.
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Primary Language en
Subjects Economics
Journal Section Articles
Authors

Orcid: 0000-0003-4542-9831
Author: Abdullah AÇIK (Primary Author)
Institution: DOKUZ EYLÜL ÜNİVERSİTESİ, DENİZCİLİK FAKÜLTESİ, DENİZCİLİK İŞLETMELERİ YÖNETİMİ BÖLÜMÜ
Country: Turkey


Orcid: 0000-0001-6632-2617
Author: Sadık Özlen BAŞER
Institution: DOKUZ EYLÜL ÜNİVERSİTESİ, DENİZCİLİK FAKÜLTESİ, DENİZCİLİK İŞLETMELERİ YÖNETİMİ BÖLÜMÜ
Country: Turkey


Dates

Publication Date : June 30, 2020

Bibtex @research article { kosbed703828, journal = {Kocaeli Üniversitesi Sosyal Bilimler Dergisi}, issn = {1302-6658}, address = {kosbed@kocaeli.edu.tr}, publisher = {Kocaeli University}, year = {2020}, volume = {1}, pages = {1 - 22}, doi = {10.35343/kosbed.703828}, title = {Risk and Volatility Spillover Between Commodity and Freight Market An Application on Capesize Freight Market}, key = {cite}, author = {Açık, Abdullah and Başer, Sadık Özlen} }
APA Açık, A , Başer, S . (2020). Risk and Volatility Spillover Between Commodity and Freight Market An Application on Capesize Freight Market . Kocaeli Üniversitesi Sosyal Bilimler Dergisi , 1 (39) , 1-22 . DOI: 10.35343/kosbed.703828
MLA Açık, A , Başer, S . "Risk and Volatility Spillover Between Commodity and Freight Market An Application on Capesize Freight Market" . Kocaeli Üniversitesi Sosyal Bilimler Dergisi 1 (2020 ): 1-22 <https://dergipark.org.tr/en/pub/kosbed/issue/55815/703828>
Chicago Açık, A , Başer, S . "Risk and Volatility Spillover Between Commodity and Freight Market An Application on Capesize Freight Market". Kocaeli Üniversitesi Sosyal Bilimler Dergisi 1 (2020 ): 1-22
RIS TY - JOUR T1 - Risk and Volatility Spillover Between Commodity and Freight Market An Application on Capesize Freight Market AU - Abdullah Açık , Sadık Özlen Başer Y1 - 2020 PY - 2020 N1 - doi: 10.35343/kosbed.703828 DO - 10.35343/kosbed.703828 T2 - Kocaeli Üniversitesi Sosyal Bilimler Dergisi JF - Journal JO - JOR SP - 1 EP - 22 VL - 1 IS - 39 SN - 1302-6658- M3 - doi: 10.35343/kosbed.703828 UR - https://doi.org/10.35343/kosbed.703828 Y2 - 2020 ER -
EndNote %0 Kocaeli Üniversitesi Sosyal Bilimler Dergisi Risk and Volatility Spillover Between Commodity and Freight Market An Application on Capesize Freight Market %A Abdullah Açık , Sadık Özlen Başer %T Risk and Volatility Spillover Between Commodity and Freight Market An Application on Capesize Freight Market %D 2020 %J Kocaeli Üniversitesi Sosyal Bilimler Dergisi %P 1302-6658- %V 1 %N 39 %R doi: 10.35343/kosbed.703828 %U 10.35343/kosbed.703828
ISNAD Açık, Abdullah , Başer, Sadık Özlen . "Risk and Volatility Spillover Between Commodity and Freight Market An Application on Capesize Freight Market". Kocaeli Üniversitesi Sosyal Bilimler Dergisi 1 / 39 (June 2020): 1-22 . https://doi.org/10.35343/kosbed.703828
AMA Açık A , Başer S . Risk and Volatility Spillover Between Commodity and Freight Market An Application on Capesize Freight Market. Kocaeli Üniversitesi Sosyal Bilimler Dergisi. 2020; 1(39): 1-22.
Vancouver Açık A , Başer S . Risk and Volatility Spillover Between Commodity and Freight Market An Application on Capesize Freight Market. Kocaeli Üniversitesi Sosyal Bilimler Dergisi. 2020; 1(39): 1-22.