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

Year 2023, Volume: 15 Issue: 2, 166 - 188, 29.12.2023

Erkan Işığıçok , Savaş Tarkun

https://doi.org/10.18613/deudfd.1279863

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

Heteroskedasticity, Volatility, ARCH Effect, Anomaly, Baltic Dry Index

Haftanın Günü Anomalisi ile Dünya Deniz Ticareti Oynaklığının Tahmini: Baltık Kuru Yük Endeksi Uygulaması

Abstract

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.

Keywords

Değişken Varyans, Oynaklık, ARCH Etkisi, Anomali, Baltık Kuru Endeksi

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