The Volatilities And Behavioral Characteristics In Dry Forward Freight Agreement Market

International shipping demand is the derived demand for international trade, and the development is affected by international economy, policy, technology, nature, and so on. So International shipping market fluctuates huge and it is higher risk. Similarly, as the shipping derivatives, FFA possesses double characters, and there are higher volatilities. Meanwhile, investment behavior of market participants could affect the price of FFA. It is important for understanding the volatilities and behaviors in FFA market. This paper investigate the daily return of dry FFA price from volatilities characters, volatilities spillover, and behavior characters, which could provide theoretical value for shipping operators.The methods are used by qualitative analysis and quantitative study, global analysis and part study. The theories are econometrics and behavioral finance. The models are Stochastic Volatility, Volatility Spillover Multivariate Stochastic Volatility, Duration Analysis (Hazard Rate Analysis), and CCK(Chang, Cheng and Khorana). The paper investigates the stationary, persistent, transactions active degrees, volatility spillover, speculations, herd effect and so on, on Panamax FFA return in different holding period, different stage, respectively, considering the changes of FFA price, means of exchange, influencing factors.The results show that, shorter term and rising volatility stages of FFA markets have higher stationary, lower persistent, higher transactions active degrees for Panamax market; there are volatility spillover effect during FFA and spot market, also the FFAs of Panamax and Capesize; there are speculations behaviors in the FFA market and herd effect in longer term FFA market. From the results, it is found that, the FFA fluctuation mechanism could be improved by improving FFA market mechanism, functional orientation, investors'quality, trading liquidity.