Dynamic volatility spillovers and investor sentiment components across freight-shipping markets

被引：9

作者：

Melas, Konstantinos D. ^{[1
,2
,3
]}

Panayides, Photis M. ^{[4
]}

Tsouknidis, Dimitris A. ^{[5
]}

机构：

[1] Univ Western Macedonia, Econ Dept, Kastoria, Greece

[2] Metropolitan Coll, Fac Business & Econ, Thessaloniki, Greece

[3] Cyprus Ctr Business Res, Nicosia, Cyprus

[4] Cyprus Univ Technol, Fac Management & Econ, Dept Commerce Finance & Shipping, Limassol, Cyprus

[5] Athens Univ Econ & Business, Sch Business, Dept Accounting & Finance, Athens, Greece

来源：

MARITIME ECONOMICS & LOGISTICS | 2022年 / 24卷 / 02期

关键词：

Volatility spillovers; Freight-shipping markets; Shipping sentiment; VAR models; Panel data; IMPULSE-RESPONSE ANALYSIS; OIL PRICE SHOCKS; CROSS-SECTION; INDEX FUTURES; TIME-SERIES; STOCK; LIQUIDITY; RISK; FLUCTUATIONS; BEHAVIOR;

D O I：

10.1057/s41278-021-00209-3

中图分类号：

U [交通运输];

学科分类号：

08 ; 0823 ;

摘要：

This paper investigates whether dynamic volatility spillovers across freight-shipping markets can be explained by a comprehensive set of indicators capturing shipping investors' sentiment. Our results reveal that an increase in the ratio of second-hand over newbuilding vessel price triggers an increase of the transmission of economic information within both the dry-bulk and tanker segments, while an increase in the ratio of price-to-earnings, as well as in the ratio of vessels sold over vessels of the global fleet also trigger an increase of the economic information transmission within each of the dry-bulk and tanker vessels, respectively. These results have important implications for shipping-market players, as they reveal novel mechanisms of the transmission of economic information within the segments and across the sub-segments of freight-shipping markets.

引用

页码：368 / 394

页数：27

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