Vol. 9 No. 1 (2021): Business & Management Studies: An International Journal
Articles

Agent based interaction of commodity price and freight market

Abdullah Açık
Res. Asst. Dr., Dokuz Eylül University
Sadık Özlen Başer
Prof. Dr., Dokuz Eylül University

Published 2021-03-25

Keywords

  • Commodity Price, Freight Market, Volatility Spillover
  • Emtia Fiyatı, Navlun Piyasası, Oynaklık Yayılımı

How to Cite

Açık, A., & Başer, S. Özlen. (2021). Agent based interaction of commodity price and freight market. Business & Management Studies: An International Journal, 9(1), 56-75. https://doi.org/10.15295/bmij.v9i1.1684

Abstract

This study investigates the relationship between iron ore, coal and wheat prices, three major dry bulk cargoes, and Capesize, Panamax, and Handymax freight, which are the intensively used ships in transportation three essential cargoes. These major ship types are considered agents in the market. The main research questions are whether there are a volatility spillover and risk transmission between commodity prices and freight routes and whether there is a differentiation in relations according to the type of cargo and intensive carriage rate. Causality in variance analysis is used to test these research questions, which determines the flow of information between variables and the volatility spillover. The obtained results reveal that the interaction can differ according to both ship types and commodity types, and volatility spillovers and risk transfers are from commodity prices to freight rates.

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