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Dynamic Interrelationships In Returns And Volatilities Among Shipping Freight Markets, Avinash Kumar

World Maritime University Dissertations

This paper explores and analyzes the return lead-lag relationships and volatility transmission among dry bulk, container and tanker shipping freight market after the financial crisis in 2008. However, there are few numbers of studies that investigates such interactions between shipping freight markets, but no studies that also consider potential linkage between container and tanker freight market. This study fills the gap by examining lead-lag and volatility spillover effects among these three shipping freight markets. The Granger causality test and the co-integration analysis are applied to investigate the lead-lag relationship among the Baltic dry index (BDI), Shanghai (export) containerized freight index …