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Τίτλος :Co-movement of freight rates on clean tanker trading routes
Δημιουργός :Bentsos, Christos
Tan, Alicia
Συντελεστής :Tsouknidis, Dimitris A. (Επιβλέπων καθηγητής)
Kavussanos, Manolis (Εξεταστής)
Androutsopoulos, Konstantinos (Εξεταστής)
Athens University of Economics and Business, Department of Accounting and Finance (Degree granting institution)
Τύπος :Text
Σημείωση :The dissertation includes references.
Φυσική περιγραφή :56p.
Γλώσσα :en
Αναγνωριστικό :http://www.pyxida.aueb.gr/index.php?op=view_object&object_id=9084
Περίληψη :Tanker shipping is crucial for carrying energy products worldwide. The purpose of this thesis is to examine the extent of which the freight rates of product tankers present interdependence and time varying volatility. An empirical analysis is conducted based on freight rates for routes TC1, TC5, TC7, and TC12. Data are weekly and cover a period from May 2013 to December 2019. Firstly, we conduct unit root test. Then we employ Vector Autoregressive (VAR) to identify Granger causality. After testing for heteroskedasticity we proceed to DCC-GARCH models to capture the time-varying correlation and volatility, as well as the interdependence.From a forward-looking perspective we found that TC1 causes TC5 and TC7, while TC5 causes TC7, and TC12 causes TC7. We also found bidirectional causality between TC1 and TC12, and TC5 and TC12. Moreover, we concluded that TC7 has the most intense response to external shocks in contrast with TC5 and TC12. We also concluded that the shocks last for shorter periods regarding TC5. Furthermore, all pairs of TC1 and the pair TC7-TC12 presented short-run persistence in contrast with pairs of TC5. Lastly, regarding to interdependence, TC1-TC5 pair presented increasing interdependence in contrast with TC1-TC12 which presented decreasing. For the other pairs we could not reach a conclusion regarding the interdependence. The pair TC1-TC7 revealed time-varying correlation.
Λέξη κλειδί :DCC-GARCH
Time-varying correlation
Co-movement
Διαθέσιμο από :2022-01-21 14:56:30
Ημερομηνία έκδοσης :2021
Ημερομηνία κατάθεσης :2022-01-21 14:56:30
Δικαιώματα χρήσης :Free access
Άδεια χρήσης :

Αρχείο: Bentsos_Tan_2021.pdf

Τύπος: application/pdf