Özet:

The Baltic dry index is reported daily by the Baltic Exchange in London. Also called Baltic exchange dry index (BDI) or Dry Bulk Index, this index, is used as a reference point for dry freight, carriage transportation costs, is published by the Baltic Exchange Market, which is the data provider of the maritime industry in London. BDI is not limited to the Baltic Sea countries or a few commodities such as crude oil. The Baltic Dry Index is a freight price index for transporting coal, iron ore, grains and many more commodities on 23 different routes. The BDI will increase when the demand for bulk cargo is greater than the supply of ship capacity. In contrast, when the supply of ship capacity is larger than the demand for bulk cargo transportation, the Baltic dry cargo index will decrease The purpose of this study is to investigate the relationship between the BDİ and the Dow Jones Iron-Steel index. For this purpose using the 526 weekly data between 04.05.2009 and 11.08.2019,, the long-term cointegration and causality relationships between the BDI and the Dow Jones Iron-Steel index was examined. The long-term cointegration relationship between the indexes was examined using Fourier ADL cointegration test developed by Banerjee et al. (2017). The causality relationship between the indexes was examined using Rolling Window method (Balcılar et al., 2010)., which provides the opportunity to examine causality by period. In this method, the time interval analyzed is divided into sub periods and separate test statistics are obtained for each sub period. The findings of this econometric analysis revealed a long-term cointegration relationship between BDI and Dow Jones index. In addition, the Rolling Window causality test indicated that the relationship between the BDI and Dow Jones index varies over time.

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