Monday effect in maritime financial variables: an anomaly in Baltic Exchange Dry Index (BDIY:IND)

Baltic Dry Index (BDIY:IND) is daily reported by Baltic Exchange. The index is a benchmark for the prices of ship chartering contracts which is a proxy for the maritime economy however the calendar anomalies of BDIY:IND have not yet been researched. This article investigates the day of week effects on BDIY:IND returns from ۲۰۱۴-۰۳ to ۲۰۲۰-۰۳. In this study, GARCH models were used to investigate the calendar effect on stock returns, and the Bootstrapping GARCH Regression is used to obtain the results with higher reliability. Regarding the correlation of time-based observations, the standard Bootstrap method does not apply to time series data; thus, the Bootstrap procedure based on resampling of GARCH's regression model residues is used in the present study. Based on a bootstrapping asymmetric GJR-GARCH approach, the results indicate that the Monday returns are significantly positive, which is in contrast with the usual findings in stock markets. It means the parties involved in shipping markets can still use information analysis as means to obtain further returns. The monetary figures of ship chartering contracts involve quite a large sum of money depends on movement of Baltic Dry Index hence having a knowledge of its behavior is vital for making smarter decisions for investors, shipowners and shipbrokers.

Keywords:

Baltic Dry Index , Bootstrap , Days of week effects , Asymmetric GARCH