Estimation of World Maritime Trade Volatility with Day of the Week Anomaly: Baltic Dry Index Application

Erkan Işığıçok; Savaş Tarkun

Makale detayları

Estimation of World Maritime Trade Volatility with Day of the Week Anomaly: Baltic Dry Index Application

Yazarlar:

Erkan Işığıçok | Savaş Tarkun

Yayıncı:

Dokuz Eylul University

Ana Başlıklar:

İşletme

Dergi:

Dokuz Eylül Üniversitesi Denizcilik Fakültesi Dergisi Vol.15 Issue 2, pp.166-188

Belge Tipi:

Makale

Yayın Tarihi:

12/2023

Belge Dili:

İngilizce

Document ID (Org No.):

2001306894

pISSN:

1309-4246

Anahtar kelimeler:

Özet:

 The shipment of raw materials in the world by sea and the volatility in the Baltic Dry Index BDI, which is the subject of this trade, and the day anomaly are two important issues. Although there are studies on BDI volatility in the literature, there are not many studies on the day anomaly related to BDI. The aim of this study is to reveal the volatility of the BDI variable used in determining the volume of world maritime trade and to determine the day of the week that causes this volatility. Data of the study includes the observation values for 262 working days for the period of 01 July 2021  01 July 2022. By taking the natural logarithmic differences of BDI data, the rate of return of the BDI index was obtained. Using these rates of return, experiments were conducted with various autoregressive conditional heteroscedasticity models and according to the findings obtained, it was concluded that there was an ARCH effect in the BDI variable, that Tuesday had an effect on increasing the volatility in the index and Friday had a decreasing effect.

 The shipment of raw materials in the world by sea and the volatility in the Baltic Dry Index BDI, which is the subject of this trade, and the day anomaly are two important issues. Although there are studies on BDI volatility in the literature, there are not many studies on the day anomaly related to BDI. The aim of this study is to reveal the volatility of the BDI variable used in determining the volume of world maritime trade and to determine the day of the week that causes this volatility. Data of the study includes the observation values for 262 working days for the period of 01 July 2021  01 July 2022. By taking the natural logarithmic differences of BDI data, the rate of return of the BDI index was obtained. Using these rates of return, experiments were conducted with various autoregressive conditional heteroscedasticity models and according to the findings obtained, it was concluded that there was an ARCH effect in the BDI variable, that Tuesday had an effect on increasing the volatility in the index and Friday had a decreasing effect.

 The shipment of raw materials in the world by sea and the volatility in the Baltic Dry Index BDI, which is the subject of this trade, and the day anomaly are two important issues. Although there are studies on BDI volatility in the literature, there are not many studies on the day anomaly related to BDI. The aim of this study is to reveal the volatility of the BDI variable used in determining the volume of world maritime trade and to determine the day of the week that causes this volatility. Data of the study includes the observation values for 262 working days for the period of 01 July 2021  01 July 2022. By taking the natural logarithmic differences of BDI data, the rate of return of the BDI index was obtained. Using these rates of return, experiments were conducted with various autoregressive conditional heteroscedasticity models and according to the findings obtained, it was concluded that there was an ARCH effect in the BDI variable, that Tuesday had an effect on increasing the volatility in the index and Friday had a decreasing effect.

 Dünyadaki hammaddelerin deniz yoluyla taşınması ve bu ticarete konu olan Baltık Kuru İndeksindeki BDI oynaklık ve gün anomalisi iki önemli husustur. Literatürde BDI oynaklığı ile ilgili çalışmalar olmasına rağmen BDI ile ilgili gün anomalisi ile ilgili çok fazla çalışma bulunmamaktadır. Bu çalışmanın amacı, dünya deniz ticaret hacminin belirlenmesinde kullanılan BDI değişkeninin oynaklığını ortaya koymak ve bu oynaklığa neden olan haftanın gününü belirlemektir. Çalışmanın verileri 01 Temmuz 2021  01 Temmuz 2022 dönemine ait 262 iş günü gözlem değerlerini içermektedir. BDI verilerinin doğal logaritmik farkları alınarak BDI indeksinin getiri oranı elde edildi. Bu getiri oranları kullanılarak çeşitli otoregresif koşullu değişen varyans modelleri ile deneyler yapılmış ve elde edilen bulgulara göre BDI oynaklık değişkeninde ARCH etkisinin olduğu, Salı gününün oynaklığı arttığının ve Cuma gününün oynaklığı azaldığının sonucuna varılmıştır.

Makale detayları

Estimation of World Maritime Trade Volatility with Day of the Week Anomaly: Baltic Dry Index Application

Yazarlar:

Erkan Işığıçok | Savaş Tarkun

Yayıncı:

Dokuz Eylul University

Ana Başlıklar:

İşletme

Dergi:

Dokuz Eylül Üniversitesi Denizcilik Fakültesi Dergisi Vol.15 Issue 2, pp.166-188

Belge Tipi:

Makale

Yayın Tarihi:

12/2023

Belge Dili:

İngilizce

Document ID (Org No.):

2001306894

pISSN:

1309-4246

Heteroskedasticity

Volatility

ARCH Effect

Anomaly

Baltic Dry IndexDeğişken Varyans

Oynaklık

ARCH Etkisi

Anomali

Baltık Kuru Endeksi

Sayı

Makale detayları

Yazarlar: Erkan Işığıçok | Savaş Tarkun

Yayıncı: Dokuz Eylul University

Ana Başlıklar: İşletme

Dergi: Dokuz Eylül Üniversitesi Denizcilik Fakültesi Dergisi Vol.15 Issue 2, pp.166-188

Belge Tipi: Makale

Yayın Tarihi: 12/2023

Belge Dili: İngilizce

Document ID (Org No.): 2001306894

pISSN: 1309-4246

Sayı

Yazarlar:

Erkan Işığıçok | Savaş Tarkun

Yayıncı:

Dokuz Eylul University

Ana Başlıklar:

İşletme

Dergi:

Dokuz Eylül Üniversitesi Denizcilik Fakültesi Dergisi Vol.15 Issue 2, pp.166-188

Belge Tipi:

Makale

Yayın Tarihi:

12/2023

Belge Dili:

İngilizce

Document ID (Org No.):

2001306894

pISSN:

1309-4246