The impact of COVID-19 on shipping freights: asymmetric multifractality analysis

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The impact of COVID-19 on shipping freights: asymmetric multifractality analysis

Li, Yajing / Yin, Ming / Khan, Khalid / Su, Chi-Wei

In order to study the asymmetric multifractality in maritime shipping freight rates, we have resorted to the use of the novel approach of asymmetric Multifractality Detrended Fluctuation Analysis. This approach examines the maritime shipping freight response towards the downward and upward movements. The outcomes in this regard show that the major maritime shipping freight rates have multifractals, which tend to increase as the fractal scale also increases. Also, a higher level of multifractality is observed in the downward movements for the Baltic Dry Index, and the Baltic Clean Tanker Index, suggesting that both the indexes have been less efficient, and also unpredictable during the time period pertaining to the pandemic. Moreover, the multifractality is observed to be greater in the upside for the Baltic Dirty Tanker Index during the pandemic, and also in the full-time period. The results also propagate that the maritime shipping freight rates are inefficient, a situation that has been evidently visible during the time period pertaining to the COVID-19 pandemic. The maritime shipping freight rates require special attention to monitor such sudden changes in the price dynamics, and following strict regulations is extremely critical in this regard.