{"title":"Seasonality patterns in LNG shipping spot and time charter freight rates","authors":"Dionysios Polemis, Christos Bentsos","doi":"10.1016/j.jcomm.2024.100424","DOIUrl":null,"url":null,"abstract":"<div><p>The aim of this paper is to investigate the existence and the nature of seasonality in LNG freight rates of different duration contract, over different market conditions (peak and troughs) for the period from December 2010 to June 2023. We employ the HEGY method and seasonal dummy variables to test for stochastic and deterministic seasonality, respectively. Then we use Markov Switching models to test for asymmetries in seasonal fluctuations across different market conditions. We reject the existence of stochastic seasonality for all freight series while results on deterministic seasonality indicate increases in rates in June, October, and November. We also found that seasonal patterns vary across market conditions, revealing that seasonal rate movements are more pronounced when the market is in downturn. Moreover, we found that the seasonal movements present similar patterns across different trading routes. The results have implications for stakeholders across the LNG value chain.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"35 ","pages":"Article 100424"},"PeriodicalIF":3.7000,"publicationDate":"2024-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Commodity Markets","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S2405851324000436","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
The aim of this paper is to investigate the existence and the nature of seasonality in LNG freight rates of different duration contract, over different market conditions (peak and troughs) for the period from December 2010 to June 2023. We employ the HEGY method and seasonal dummy variables to test for stochastic and deterministic seasonality, respectively. Then we use Markov Switching models to test for asymmetries in seasonal fluctuations across different market conditions. We reject the existence of stochastic seasonality for all freight series while results on deterministic seasonality indicate increases in rates in June, October, and November. We also found that seasonal patterns vary across market conditions, revealing that seasonal rate movements are more pronounced when the market is in downturn. Moreover, we found that the seasonal movements present similar patterns across different trading routes. The results have implications for stakeholders across the LNG value chain.
期刊介绍：
The purpose of the journal is also to stimulate international dialog among academics, industry participants, traders, investors, and policymakers with mutual interests in commodity markets. The mandate for the journal is to present ongoing work within commodity economics and finance. Topics can be related to financialization of commodity markets; pricing, hedging, and risk analysis of commodity derivatives; risk premia in commodity markets; real option analysis for commodity project investment and production; portfolio allocation including commodities; forecasting in commodity markets; corporate finance for commodity-exposed corporations; econometric/statistical analysis of commodity markets; organization of commodity markets; regulation of commodity markets; local and global commodity trading; and commodity supply chains. Commodity markets in this context are energy markets (including renewables), metal markets, mineral markets, agricultural markets, livestock and fish markets, markets for weather derivatives, emission markets, shipping markets, water, and related markets. This interdisciplinary and trans-disciplinary journal will cover all commodity markets and is thus relevant for a broad audience. Commodity markets are not only of academic interest but also highly relevant for many practitioners, including asset managers, industrial managers, investment bankers, risk managers, and also policymakers in governments, central banks, and supranational institutions.
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