Journal of Yaşar University

Yazarlar: Abdullah AÇIK, Sadık Özlen BAŞER

Konular:Sosyal

DOI:10.19168/jyasar.368149

Anahtar Kelimeler:Baltic Dry Index,Maritime,Efficient market hypothesis,BDS test

Özet: The efficient market hypothesis (EMH) suggests that prices fully reflect all available information and so no investor has an advantage to forecast future prices. According to EMH, the technical commercial rules on which purchase and sale decisions are based on historical data should not result in an economically remarkable excess profits. It is vital to have efficient market characteristics in maritime sector especially for small participants, because shipping is a capital intensive sector. In this context, the purpose of this study is to determine whether the freight rates are efficient in the dry bulk market. Because if the freight markets are efficient, the decision that is taken will make no difference to profitability. Otherwise, if the market inefficient, profit opportunities arise. Baltic Dry Index (BDI) is selected as an indicator of transportation service prices in freight market. The data covers the period between 4th January 1985 and 1st December 2017. The data consists of 8264 observations on daily basis. The methodology consists of 3 main application which are unit root test, variance ratio test and BDS independence test to determine whether the dry bulk market efficient or not. This study also contributes to literature by testing the efficiency with a different method, using the BDS test, except for the commonly used methods. The results indicate that the efficient market hypothesis is not valid for the dry bulk market and profit opportunities arise in the market.

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