DOAJ Open Access 2025

Mean reversion and long memory dynamics in the Shanghai Containerized Freight Index

Gloria Claudio-Quiroga Luis Alberiko Gil-Alana Andoni Maiza-Larrarte

Abstrak

Abstract 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.

Topik & Kata Kunci

Shipment of goods. Delivery of goods Transportation and communications

Penulis (3)

Gloria Claudio-Quiroga

Luis Alberiko Gil-Alana

Andoni Maiza-Larrarte

Format Sitasi

APA MLA BibTeX

Claudio-Quiroga, G., Gil-Alana, L.A., Maiza-Larrarte, A. (2025). Mean reversion and long memory dynamics in the Shanghai Containerized Freight Index. https://doi.org/10.1186/s41072-025-00211-5

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Informasi Jurnal

Tahun Terbit: 2025
Sumber Database: DOAJ
DOI: 10.1186/s41072-025-00211-5
Akses: Open Access ✓