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Spatial efficiency in the dry bulk supramax market: an investigation through cointegration and profitable trading

Skavlan, Magnus Molander
Master thesis
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URI
http://hdl.handle.net/11250/2383313
Date
2015
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  • Master Thesis [4657]
Abstract
The freight rates across geographical regions in the drybulk segment may experience

substantial differences on a short-term basis, but generally move in tandem in the long-term.

If these temporary differences cannot be exploited financially by applying trading rules based

on publicly available information, then the market can be viewed as spatially efficient. This

paper uses cointegration analysis to establish the long-term relationship between supramax

tripcharter rates, and moves on to evaluate the financial profitability of trigger based trading

rules. These rules are based on spreads between certain tripcharter rates. The trading rules are

applied in order to investigate whether the short-term differences allowed under cointegration

are transient enough to coincide with a spatially efficient market. The results provide

evidence of a profitable trading strategy, but when accounting for potential off-hire ballasting

activity these profits are zeroed out. Thus, the conclusion points towards a spatially efficient

dry bulk supramax market.

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