Stock market efficiency and international shipping-market information

被引：29

作者：

Alizadeh, Amir H. ^{[1
]}

Muradoglu, Gulnur ^{[2
]}

机构：

[1] Cass Business Sch, Fac Finance, London EC1Y 8TZ, England

[2] Univ London, Sch Business & Management, London E1 4NS, England

来源：

JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY | 2014年 / 33卷

关键词：

Stock returns; Freight rates; Shipping; Market efficiency; OIL PRICE SHOCKS; RETURNS; TESTS;

D O I：

10.1016/j.intfin.2014.10.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Changes in international shipping freight rates can predict US and international stock market returns. In today's global world where economies are linked, shipping freight rates carry information about economic activity and stock returns. Using US size and sector indices we find that shipping market movements can explain returns and volatility of stock indices. The results are economically significant and cannot be explained by time-varying risk premia thus constituting a challenge to the EMH. Consistent with the gradual information-diffusion hypothesis, investors are slow in responding to the information from changes in shipping freight rates across industries and around the world. (C) 2014 Elsevier B.V. All rights reserved.

引用

页码：445 / 461

页数：17

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