Dynamics of the co-movement between stock and maritime markets

Erdoğan, Oral; Tata, Kenan; Karahasan, Burhan Can; Sengoz, M. Hakan

doi:10.1016/j.iref.2012.07.007

Cited by 34 publications

(9 citation statements)

References 39 publications

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“…Third, in accordance with previous researches ( Erdogan et al, 2013 ; Gong et al, 2020 ), we confirm the bi-directional lead-lag relationship between stock markets and freight markets as contemporaneously S&P500 has a negative relationship with the Baltic Dirty Tanker Index while the 1 day lag relationship has a positive sign.…”

Section: Discussionsupporting

confidence: 91%

“…We attribute this to a mean-reverting behavior, one that still emphasizes the importance of the macroeconomic environment for the BDTI. Our results, are in accordance with Erdogan et al (2013) and Gong et al (2020) who show that the relationship between stock markets and freight markets is inter-changeable and also is stronger during the busts of the cycles. Finally, in this case the ARCH term is higher than the GARCH term, and thus past errors have a stronger impact on the variance and that these are not very persistent across time.…”

Section: Estimating the Impact Of The Coronavirussupporting

confidence: 93%

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Shipping markets in turmoil: An analysis of the Covid-19 outbreak and its implications

Michail

Melas

2020

Transportation Research Interdisciplinary Perspectives

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In the current study, we examine, for the first time in the literature, the impact of exogenous effects in the shipping industry by employing data from the recent Covid-19 pandemic outbreak and explore the reactions of freight rates for dry bulk, clean, and dirty tankers. Our results, using both GARCH (1,1) and VAR specifications, suggest that such events are directly affecting the dry bulk and the dirty tanker segments. In addition, the results also suggest that second round effects, mostly via the decline in oil prices and, in some cases, third round effects via the impact from the stock market, also exist. Finally, by employing daily port calls a proxy variable for the demand for transportation services, we show that both the dry bulk and clean tankers are highly affected by the demand side of the economy, while vessels which transport crude oil do not register such a relationship.

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Section: Discussionsupporting

confidence: 91%

Section: Estimating the Impact Of The Coronavirussupporting

confidence: 93%

Shipping markets in turmoil: An analysis of the Covid-19 outbreak and its implications

Michail

Melas

2020

Transportation Research Interdisciplinary Perspectives

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“…As expected, the co-movement is related closely with financial or important events (i.e., SARS outbreak). Consistent with Erdogan et al (2013), our findings of a high level of co-movements should signal that the contagion effects are evident for bad as well as good events spreading over different markets. In summary, the predictive power of UK for both DE and US is in the short and medium runs; that of US for DE is at low and medium frequencies; and that of US for UK is over the long run.…”

Section: Wavelet Coherency and Partial Wavelet Coherencysupporting

confidence: 88%

Co-movements of returns in the health care sectors from the US, UK, and Germany stock markets: Evidence from the continuous wavelet analyses

Chen

Tseng

2017

International Review of Economics & Finance

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“…Specifically, their selection process was based on the findings of previous work establishing the existence of theoretically robust interlinkages. Here we consider the relationships between the performance of companies with influenza and coronavirus-dependant business structures and the broad equity index as represented by the CSI300, based on the prior works of Baele (2005) ; Diebold and Yilmaz (2009) ; Singh et al., (2010) ; Erdogan et al., (2013) ; Yarovaya et al., (2016) ; Smimou and Khallouli (2016) ; Bhuyan et al., (2016) and Shahzad et al., (2017) . Further, we consider interlinkages between COVID-19 and commodities as represented by gold, oil and soybeans.…”

Section: Previous Literaturementioning

confidence: 99%

Pandemic-related financial market volatility spillovers: Evidence from the Chinese COVID-19 epicentre

Corbet

Hou

et al. 2021

International Review of Economics & Finance

154

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Utilising Chinese-developed data based on long-standing influenza indices, and the more recently-developed coronavirus and face mask indices, we set out to test for the presence of volatility spillovers from Chinese financial markets upon a broad number of traditional financial assets during the outbreak of the COVID-19 pandemic. Such indices are used to specifically measure the performance of Chinese companies who are inherently involved in the R&D and production of materials and products used to mitigate and counteract the effects of influenza and coronavirus, therefore, such indices present a unique barometer of broad population-based sentiment relating to COVID-19 in comparison to traditional Chinese influenza. Within days of the formal announcement of the COVID-19 outbreak, results indicate exceptionally pronounced and persistent impacts of the coronavirus pandemic upon Chinese financial markets, compared to that of the traditional and long-standing influenza index. Further, in a novel finding to date, COVID-19 is found to have had a substantial effect on directional spillovers upon the Bitcoin market. Cryptocurrency-based confidence appears to have been instigated through government-developed education schemes, which are identified as one possible explanation for our results, which are found to remain robust across both data-frequency and methodological variation.

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Dynamics of the co-movement between stock and maritime markets

Cited by 34 publications

References 39 publications

Shipping markets in turmoil: An analysis of the Covid-19 outbreak and its implications

Shipping markets in turmoil: An analysis of the Covid-19 outbreak and its implications

Co-movements of returns in the health care sectors from the US, UK, and Germany stock markets: Evidence from the continuous wavelet analyses

Pandemic-related financial market volatility spillovers: Evidence from the Chinese COVID-19 epicentre

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