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Testing a speculative bubble in the dry bulk shipping market: a multi-factor approach

Cocconcelli, L; Medda, F; (2016) Testing a speculative bubble in the dry bulk shipping market: a multi-factor approach. International Journal of Decision Sciences, Risk and Management , 6 (3) p. 281. 10.1504/IJDSRM.2016.079795. Green open access

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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.

Type: Article
Title: Testing a speculative bubble in the dry bulk shipping market: a multi-factor approach
Open access status: An open access version is available from UCL Discovery
DOI: 10.1504/IJDSRM.2016.079795
Publisher version: http://dx.doi.org/10.1504/IJDSRM.2016.079795
Language: English
Keywords: Dry Bulk Cargo, Freight Rates, Speculation
UCL classification: UCL
UCL > Provost and Vice Provost Offices
UCL > Provost and Vice Provost Offices > UCL BEAMS
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science > Dept of Civil, Environ and Geomatic Eng
URI: https://discovery.ucl.ac.uk/id/eprint/1529144
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