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Title :Co-movement of freight rates on clean tanker trading routes
Creator :Bentsos, Christos
Tan, Alicia
Contributor :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)
Type :Text
Notes :The dissertation includes references.
Extent :56p.
Language :en
Identifier :
Abstract :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.
Subject :DCC-GARCH
Time-varying correlation
Date Available :2022-01-21 14:56:30
Date Issued :2021
Date Submitted :2022-01-21 14:56:30
Access Rights :Free access
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File: Bentsos_Tan_2021.pdf

Type: application/pdf