Research Article
Volatility Spillovers in Capesize Forward Freight Agreement Markets
Table 2
The statistic characters of returns.
| | C3 | C4 | C5 | C7 | BCIT/C average | BPIT/C average | BCI T/C |
| Before 2008 financial crisis | Mean | 0.001 | 0.001 | 0.001 | 0.001 | 0.001 | 0.001 | 0.001 | Median | 0.002 | 0 | 0.001 | 0.001 | 0.001 | 0 | 0.003 | Max | 0.078 | 0.188 | 0.179 | 0.199 | 0.247 | 0.201 | 0.146 | Min | −0.106 | −0.205 | −0.244 | −0.212 | −0.169 | −0.122 | −0.168 | SD | 0.018 | 0.026 | 0.027 | 0.022 | 0.027 | 0.02 | 0.029 | Skewness | −1.229 | −0.207 | −1.075 | −0.226 | 1.164 | 1.596 | −0.558 | kurtosis | 10.504 | 15.143 | 18.439 | 27.996 | 23.204 | 26.792 | 7.939 | J-B | 1727.638 | 4090.186 | 6732.894 | 17318.23 | 11461.21 | 15966.5 | 710.299 |
| After 2008 financial crisis | Mean | −0.001 | −0.001 | −0.001 | −0.001 | −0.002 | −0.001 | −0.002 | Median | −0.001 | −0.001 | 0 | −0.001 | −0.003 | −0.001 | −0.006 | Max | 0.36 | 0.251 | 0.343 | 0.294 | 0.678 | 0.725 | 0.352 | Min | −0.452 | −0.304 | −0.308 | −0.277 | −0.975 | −0.594 | −0.342 | SD | 0.03 | 0.029 | 0.031 | 0.031 | 0.081 | 0.055 | 0.063 | Skewness | −1.471 | −0.749 | −0.558 | −0.436 | 0.413 | 0.204 | 0.639 | kurtosis | 57.683 | 27.893 | 31.426 | 29.762 | 31.941 | 47.374 | 7.382 | J-B | 227287.1 | 47135.22 | 61335.43 | 54340.21 | 63531.48 | 149248.2 | 1579.396 |
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Note: SD is standard deviation; J-B is Jarque-Bera statistic.
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