Authors: Ioannis Tsakalos, George Christakis, Andreas Andrikopoulos

Title: Dynamic Correlations between freight rates and commodities market

Abstract

This paper investigates the correlations between freight rates and commodities' markets during the last decade. We employ the Dynamic Conditional Correlation (DCC) model to examine dynamics in the correlation of returns between shipping indices and commodities markets such as agricultural products, oil and energy indices. Empirical findings indicate significant correlation dynamics among commodities' price returns and freight rates during both the pre-crisis and the crisis period, while there is significant evidence that their interdependence differs when we capture shipping indices correlation with the global commodities' index. This paper extends the volatility spillovers literature and results are useful for industry practitioners, traders and portfolio managers.