Mean reversion and long memory dynamics in the Shanghai Containerized Freight Index
This paper deals with the investigation of the long memory properties of the Shanghai Containerized Freight Index for the time period from 16 October 2009 to 18 October 2024. Using fractional integration methods, we want to determine if shocks in the series have transitory or permanent effects. The...
| Autores: | , , |
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| Tipo de recurso: | artículo |
| Fecha de publicación: | 2025 |
| País: | España |
| Institución: | Universidad de Málaga |
| Repositorio: | DDFV. Repositorio Institucional de la Universidad Francisco de Vitoria |
| Idioma: | inglés |
| OAI Identifier: | oai:ddfv.ufv.es:10641/6798 |
| Acceso en línea: | https://hdl.handle.net/10641/6798 |
| Access Level: | acceso abierto |
| Palabra clave: | Covid-19 Fractional integration Long memory Persistence Shanghai Containerized Freight Index General Business, Management and Accounting Transportation General Economics, Econometrics and Finance Yes yes |
| Sumario: | This paper deals with the investigation of the long memory properties of the Shanghai Containerized Freight Index for the time period from 16 October 2009 to 18 October 2024. Using fractional integration methods, we want to determine if shocks in the series have transitory or permanent effects. The results indicate that the series are very persistent when using the whole sample size with an order of integration above 1. However, if we separate three different subsamples, corresponding to the pre-Covid, Covid and post-Covid periods, we observe reversion to the mean in the pre-Covid period; however, during the Covid, there is a substantial increase in the value of d and turns decreasing after the pandemic. |
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