Study On Spillover Effect Between Freight And Vessel Prices Of Panamax Bulkcarrier

After the financial crisis in 2008,the international dry bulk shipping industry has experienced several recovery periods,but soon fallen to the bottom again.Until now the shipping market hasn't been able to break out of the downturn.As the upstream industry to dry bulk shipping industry,the world dry bulk vessel market is also facing the development bottleneck.The main cause of this phenomenon is that the shipping market hasn't solved the excess capacity yet.With the development of economic integration and communication technology,the connection between dry bulk shipping market and dry bulk vessel market is becoming strengthened.So it's crucial to understand the interaction between them and to grasp the characteristics and mechanism of freight rate and ship price.Therefore,taking Panamax bulk carrier as an example,this paper uses the theory of market spillover effect to explore the mean spillover effect and the volatility spillover effect between the freight index,newbuilding prices and secondhand prices,in order to fully understand the correlation between dry bulk shipping market,new shipbuilding market and secondhand ship market.This thesis was structured as follow:Firstly,this paper outlines the definition and characteristics of dry bulk shipping market,new shipbuilding market and secondhand ship market,and qualitatively investigated these markets of Panamax starting with the demand,capacity supply,average age,the trading volume of new shipbuilding and secondhand ship.Secondly,in order to effectively analyze the dynamic relationship among freight index,new shipbuilding priee and second-hand ship price in Panamax shipping market,this paper divides the collected data into several periods according to their fluctuation periodicity.A detailed analysis of wave frequency,maximum,minimum,mean and standard variance of price fluctuations has been done to summarize the main fluctuating characters.In addition,the cause of these prices fluctuation and the interaction mechanism among them are systematically analyzed.Thirdly,this paper establishes Granger causality test based on vector autoregressive model(VAR)to analyze the directivity of mean spillover effect among BPI,new shipbuilding priee and second-hand ship price before and after the financial crisis.The research shows that both before and after the financial crisis,BPI is the Granger cause of the secondhand ship price;before the financial crisis,BPI and the secondhand ship price are the Granger causes of the new shipbuilding price,but after the financial crisis,the causality does not exist.Finally,this paper analyzes the reasons of this inconsistent phenomenon.At last,this paper applies the multi-variance VAR-GARCH-BEKK model of asymmetric GED distribution,and explores the sensitivity,volatility persistence,volatility spillover effects and asymmetry among Panamax shipping markets.The results show that there are the two-way volatility spillover effects between these markets,but the Spillovers of dry bulk shipping market to new shipbuilding market are very weak,and the volatility spillovers between markets have significant asymmetry.The short-term volatility effect of Panamanian dry bulk shipping market is affected by the negative impact of the ship market,but its volatility spillover effect on its persistence is affected by the positive impact of the ship market.In addition,according to the research results,this paper put some suggestions to shipping enterprises in order to improve shipping enterprises' investment decisions and reduce operational risks.