Volatility Characteristics and Market Efficiency of China Coastal Coal Freight Index

Based on 300 trading days of daily data from the China Coastal Coal Freight Index (CCBFI) in 2024, this paper analyzes the volatility characteristics and market efficiency of China’s coastal coal transportation market. The study covers the composite index and freight rates of 14 major routes, employing descriptive statistics, correlation analysis, principal component analysis, cluster analysis, time series analysis, volatility modeling, and market efficiency tests. The results show that: (1) CCBFI exhibits significant volatility with a coefficient of variation of 17.10%; (2) Strong positive correlations exist between route freight rates and the composite index (correlation coefficients >0.92); (3) The first three principal components account for 99.32% of cumulative variance; (4) The market shows weak-form efficiency with some predictability; (5) GARCH models effectively characterize volatility clustering and persistence. This study provides insights for shipping companies’ risk management, investor decision-making, and market regulation.