Dynamics of the Co-Movement between Stock and Maritime Markets
Piri Reis University-Faculty of Economics and Adm. Sciences
Burhan Can Karahasan
Mehmet Hakan Sengoz
Istanbul Bilgi University
July 20, 2012
International Review of Economics & Finance, Volume 25, January 2013, Pages 282–290.
This study investigates the existence of economically significant information spillovers between stock markets and markets for shipping freight by sea. Using multivariate correlation models on the returns of the Dow Jones Industrial Average (DJIA) and the Baltic Dry Index (BDI), we find mutual feedback between the two markets, which becomes stronger during the periods of financial turmoil. Results also suggest that the extent of information spillover between the markets varies over time, depending on market-specific conditions. We conclude that, being an indispensable factor for price discovery, such a relationship provides a link between two markets that are otherwise rather distinct with respect to the assessment of available information and real activity.
Number of Pages in PDF File: 17
Keywords: Stock markets, Maritime markets, Financial Crisis, Multivariate volatility, Price Discovery, Information Spillover
JEL Classification: C32, G11, G15Accepted Paper Series
Date posted: August 8, 2012 ; Last revised: November 17, 2013
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