Testing a speculative bubble in the dry bulk shipping market: a multi-factor approach. Issue 3 (2016)

• Record Type: Journal Article
• Authors: Cocconcelli, Luca; Medda, Francesca
• Is Part Of: International journal of decision sciences risk and management. Volume 6:Issue 3(2016)
• Page Start: 281
• Page End: 296
• Publication Date: 2016
• Subjects: dry bulk cargo -- freight rates -- cargo prices -- speculation -- cointegration test -- multi-factor analysis -- speculative bubbles -- dry bulk shipping -- shipping industry; Decision making -- Periodicals; Management -- Periodicals; 658.403005
• Languages: English
• ISSNs: 1753-7169

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.