MULTIFRACTAL CHARACTERISTICS IN MARITIME ECONOMICS VOLATILITY

Taking the fact that shipping market is one of the most important components of the transport market which is derivative from world economic market, the analysis of freight rate volatility is of great significance especially after the financial crisis in 2008. The multifractal detrended fluctuation analysis (MF-DFA) technique is employed to analyze the time series of Baltic Dry Bulk Freight Rate Index and the market trend of two bulk ship sizes, namely Capesize and Panamax for the period: from March 1st 1999 February to 26th 2015. In this paper, the degree of the multifractality with different fluctuation sizes is calculated. Special quantitative analysis by constructing two new time series considering finite-size effect of the objective time series is given to identify the possible source(s) of multifractality. Numerical results show that both Capasize and Panamax freight rate index time series are of multifractal nature. The origin of multifractality for the bulk freight rate market series is found mostly due to nonlinear correlation. The research contributes to risk management by providing various instructions for participants in shipping markets. Our main contribution is that our results better evaluate volatility behaviors in dry bulk carrier freight rate market, enabling them to adjust their strategies in time and avoid risk with a global vision through numerical results while applying quantitative analysis based on multifractal detrended fluctuation analysis.