Excess return on bulk shipping markets

This research investigates the dynamics of excess return on vessels trip charter and time charter in travel leases and rental of the specified route in bulk dry market. Initially, using a weekly dataset between January 2003 and January 2016, a long-term co-integration relationship between temporary travel contracts and maritime-specific contracts was evaluated in the ship's temporary lease equations. Then, a new method was developed based on technical analysis to identify surplus return signals and the formation of a business strategy. Accordingly, our focus was on short-term deviations and we developed a leasing strategy for technical analysis. In particular, we designed the MMTM method and formed a rental strategy. Finally, we tested our strategy for a simple weekly entry into a specific lease. The results show that our method performs better than the benchmark strategy and reveals that a proper utilization of market price deviations will result in significant surplus returns.