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

Authors : Erkan Işiğiçok, Savaş Tarkun

Pages : 166-188

Doi:10.18613/deudfd.1279863

View : 95 | Download : 73

Publication Date : 2023-12-29

Article Type : Research Paper

Abstract :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.
Keywords : Değişken Varyans, Oynaklık, ARCH Etkisi, Anomali, Baltık Kuru Endeksi