Spectral analysis of the dry bulk shipping market by utilizing the system dynamics approach


Jeon J., GÜLAY E., Duru O.

Maritime Business Review, vol.8, no.1, pp.2-17, 2023 (Scopus) identifier

  • Publication Type: Article / Article
  • Volume: 8 Issue: 1
  • Publication Date: 2023
  • Doi Number: 10.1108/mabr-02-2021-0014
  • Journal Name: Maritime Business Review
  • Journal Indexes: Scopus
  • Page Numbers: pp.2-17
  • Keywords: Business cycle theory, Dry bulk shipping, Investment timing, System dynamics
  • Dokuz Eylül University Affiliated: Yes

Abstract

Purpose: This research analyzes the cycle of the dry bulk shipping market (DBSM) as a representative of spot and period charter rates in dry bulk shipping to develop strategies for investment timing (i.e. asset play) and fleet trading (chartering strategy). Design/methodology/approach: Spectral analysis is a numerical approach to extract significant cyclicality, which may be utilized to develop trading strategies. Instead of working with a single dataset (univariate), a system approach can be utilized to observe a significant shipping market cycle in its multi-variate circumstance. In this paper, a system dynamics design is employed to extract cyclicality in the DBSM in its particular industrial environment. The system dynamic design has competitive forecasting accuracy relative to univariate time series models and artificial neural networks (ANNs) in terms of forecasting outcomes. Findings: The results show that the system dynamic design has a better forecasting performance according to three evaluation metrics, mean absolute scale error (MASE), root mean square error (RMSE) and mean absolute percentage error (MAPE). Originality/value: Cyclical analysis is a significantly useful instrument for shipping asset management, particularly in market entry–exit operations. This paper investigated the cyclical nature of the dry bulk shipping business and estimated significant business cycle periodicity at around 4.5-year frequency (i.e. the Kitchin cycle).