Empirical Analysis on Rational Bubbles in Ship Prices
Hyunsok Kim2018, Journal of Korea Port Economic Association
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Abstract
This study empirically tests the presence of rational bubbles in the ship prices using time series data from October 1996 to April 2017. To detect the existence of ship prices' rational bubbles, we use integration and cointegration tests, which were proposed by Campbell and Shiller(1987) and , for circumventing misspecification of ship price model and applying the bubble test to nonstationary time series. The result of integration test supports existence of tanker price's rational bubble. The cointegration test also shows that drybulk ship and containership prices have been overvalued relative to the market fundamental, drybulk and container freight rates, due to non-stationary rational bubbles. These results provide Korean shipping industry and authorities implications that anticyclical ship investment and long-term and steady fleet capacity expansion policy are needed.
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