Research Article
Volatility Spillovers in Capesize Forward Freight Agreement Markets
Table 6
Volatility spillover among Capesize FFAs, Panamax FFAs, and BCI.
| | Before the global financial crisis | After the global financial crisis | | Value | MC error | 2.5% | Median | 97.5% | | Value | MC error | 2.5% | Median | 97.5% | |
| | 0.921 | 0.005 | 0.811 | 0.927 | 0.991 | 19.015 | −0.159 | 0.005 | −0.221 | −0.171 | −0.047 | −3.650 | | 0.889 | 0.009 | 0.688 | 0.916 | 0.992 | 10.461 | 0.287 | 0.011 | 0.114 | 0.281 | 0.559 | 2.807 | | 0.106 | 0.004 | −0.009 | 0.113 | 0.159 | 2.698 | 0.888 | 0.009 | 0.645 | 0.911 | 0.990 | 10.062 | | 0.724 | 0.015 | 0.459 | 0.751 | 0.923 | 5.368 | 0.754 | 0.011 | 0.479 | 0.758 | 0.956 | 7.378 | | −0.0180 | 0.005 | −0.241 | −0.192 | −0.092 | −0.439 | 0.730 | 0.021 | 0.176 | 0.779 | 0.971 | 3.796 | | 0.0366 | 0.009 | 0.147 | 0.380 | 0.508 | 0.433 | 0.165 | 0.007 | 0.031 | 0.186 | 0.239 | 2.752 |
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