A study of the volatility in the dry bulk market
Master thesis
Permanent lenke
http://hdl.handle.net/11250/2476988Utgivelsesdato
2017Metadata
Vis full innførselSamlinger
- Master of Science [1612]
Sammendrag
This thesis aims to measure and analyze the volatility of the dry bulk freight spot
market. Empirical research is conducted by using samples of daily observations
from 1985 to 2016. We find the return series are stationary and heteroscedastic. We
use AR-GARCH type of models and compare different model specifications. We
conclude that bigger ships are riskier and their underlying dynamics are more
complex. Shocks are very persistent in the dry bulk freight market, but decrease
with the vessel size. We find positive news to have higher impact on the volatility,
as predicted by the short-term supply-and-demand model. In Capesize market
higher risk leads to lower return. When the market gets extremely volatile, our
models systematically underestimate the volatility as the vessel size increases.
Beskrivelse
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2017