Shipping investor sentiment and international stock return predictability

Papapostolou, Nikos C.; Pouliasis, Panos K.; Nomikos, Nikos K.; Kyriakou, Ioannis

doi:10.1016/j.tre.2016.10.006

Cited by 47 publications

(27 citation statements)

References 74 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“… Grammenos and Arkoulis (2002) have shown that oil prices, laid up tonnage and exchange rates affect the shipping industry. Likewise, Papapostolou et al, 2014 , Papapostolou et al, 2016 show that industrial production and cumulative crisis periods in Asia and in the G7 countries are acting as indicators of the international demand for shipping services. Finally, oil prices have extensively being linked with the shipping markets as they have a lead-lag relationship with the freight rates ( Angelopoulos et al, 2020 ) and thus they can provide better forecasts for the tanker and the dry bulk market ( Gavriilidis et al, 2018 ; Michail, 2020 ).…”

Section: Review Of the Related Literaturementioning

confidence: 99%

“…We are building our model not only by introducing for the first time a quantifiable variable for the exogenous event but also by using additional variables that are acting as proxies for the global supply and demand of the shipping markets. Additionally, so as to exclude any potential spillovers that may have erupted between economy and the shipping markets, we are including variables of that are connecting the outcome of the event to the financial markets, since the relationship that exists between the two is already well-established ( Kavussanos et al, 2014 ; Papapostolou et al, 2016 ).…”

Section: Introductionmentioning

confidence: 99%

See 1 more Smart Citation

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

Michail

Melas

2020

Transportation Research Interdisciplinary Perspectives

103

View full text Add to dashboard Cite

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.

show abstract

Section: Review Of the Related Literaturementioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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

Michail

Melas

2020

Transportation Research Interdisciplinary Perspectives

103

View full text Add to dashboard Cite

show abstract

“…On the contrary, Menkhoff and Rebitzky [50] mention that, in the long run, exchange rates move in a fundamental direction while investor sentiment continues to build unreasonable currency rate expectations. It is also indicated that investor sentiment in the stock market only has a short-lived effect on the exchange rate, while in the long term, investor sentiment is cointegrated with fundamental factors such as interest rate and inflation [51]. Furthermore, Uhl [52] insists that news sentiment in the stock market has nothing to do with exchange rate return.…”

Section: Literature Reviewmentioning

confidence: 99%

Can Stock Investor Sentiment Be Contagious in China?

Cai

Ran

2020

Sustainability

View full text Add to dashboard Cite

This paper explores the impact of investor sentiment on financial markets in China by taking the quantile causality test. We find that government bond markets, gold markets, and foreign exchange markets are affected by stock investor sentiment, except for in the corporate bond market. In extreme situations, such as excessively optimistic or pessimistic sentiment, these markets will become more vulnerable to suffering from drastic fluctuations. On the contrary, the market return in government bonds, corporate bonds, and foreign exchange also has an influence on stock investor sentiment. Moreover, these links show various asymmetry due to the heterogeneity of different financial markets. Our results are consistent with the noise trader model, which shows the impact of investor sentiment on market returns. Hence, the authorities can sustain the stabilization of financial markets by reducing information asymmetry, guiding the rational sentiment of investors, and increasing effective regulations.Especially in certain extreme pessimistic situations, sentiment in the stock market can lead to drastic fluctuations in other financial markets [15,16], and the authorities cannot maintain market stability and continuity of development. In turn, the performance of these markets is also a remarkable barometer that leads stock investor sentiment to change [17]. Through information in different market environments, external shocks, not only make asset price fluctuate, but also result in stock investors overreacting, and this affects their investment expectations [18]. This bidirectional transmission is regarded as an important factor for the linkage among major financial markets [19]. Hence, investor sentiment plays an important role in the formation of financial market effectiveness. If investor sentiment cannot be reasonably guided, it will be difficult to suppress irrational trading and speculative bubbles and improve market efficiency.Compared with stock markets in developed countries, individual investors account for a large proportion of Chinese stock investors, which makes the whole market more emotional [20]. With a lack of social responsibility and an awareness of sustaining market efficiency, the individual Chinese investor has an underdeveloped investment education and, thus, they often show irrational investment behavior [21]. Hence, market fluctuation frequently happens, and it is difficult for investor sentiment to be properly guided. Not only do investors make irrational trades in the stock market, but they are also more likely to carry their emotions to other markets [22]. If investor sentiment in the stock market spreads to other markets and causes unexpected fluctuations in China, the pricing and operating efficiency of many financial markets will be damaged. As well as the stock market, the gold, bond, and foreign exchange markets are all financial markets with a large scale in China. If such emotional contagion exists in China, investors who excessively ignore the fundamentals will find it difficult to form th...

show abstract

“…Kawasaki and Matsuda (2014) developed a logit-based model to forecast container and bulk shipping for wood pulp transport between East Asia and the USA. Li et al (2018), Papapostolou et al (2016) and Papapostolou et al (2014) examined the sentiment index for future demand forecasting in the shipping industry and identified as having a significant impact. However, to the best of our knowledge, no study to date has measured the impact and durability of economic indicators on container movement.…”

Section: Durability Of Economic Indicatorsmentioning

confidence: 99%

The durability of economic indicators in container shipping demand: a case study of East Asia–US container transport

Kawasaki

Matsuda

Lau

et al. 2021

MABR

View full text Add to dashboard Cite

Purpose In the maritime industry, it is vital to have a reliable forecast of container shipping demand. Although indicators of economic conditions have been used in modeling container shipping demand on major routes such as those from East Asia to the USA, the duration of such indicators’ effects on container movement demand have not been systematically examined. To bridge this gap in research, this study aims to identify the important US economic indicators that significantly affect the volume of container movements and empirically reveal the duration of such impacts. Design/methodology/approach The durability of economic indicators on container movements is identified by a vector autoregression (VAR) model using monthly-based time-series data. In the VAR model, this paper can analyze the effect of economic indicators at t-k on container movement at time t. In the model, this paper considers nine US economic indicators as explanatory variables that are likely to affect container movements. Time-series data are used for 228 months from January 2001 to December 2019. Findings In the mainland China route, “building permission” receives high impact and has a duration of 14 months, reflecting the fact that China exports a high volume of housing-related goods to the USA. Regarding the South Korea and Japan routes, where high volumes of machinery goods are exported to the USA, the “index of industrial production” receives a high impact with 11 and 13 months’ duration, respectively. On the Taiwan route, as several types of goods are transported with significant shares, “building permits” and “index of industrial production” have important effects. Originality/value Freight demand forecasting for bulk cargo is a popular research field because of the public availability of several time-series data. However, no study to date has measured the impact and durability of economic indicators on container movement. To bridge the gap in the literature in terms of the impact of economic indicators and their durability, this paper developed a time-series model of the container movement from East Asia to the USA.

show abstract

Shipping investor sentiment and international stock return predictability

Cited by 47 publications

References 74 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

Can Stock Investor Sentiment Be Contagious in China?

The durability of economic indicators in container shipping demand: a case study of East Asia–US container transport

Contact Info

Product

Resources

About