Abstract

http://ssrn.com/abstract=2126505
 
 

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Dynamics of the Co-Movement between Stock and Maritime Markets


Oral Erdogan


Piri Reis University-Faculty of Economics and Adm. Sciences

Kenan Tata


Turkon Holding

Burhan Can Karahasan


Okan University

Hakan M Sengoz


Istanbul University - Faculty of Business Administration

July 20, 2012

International Review of Economics & Finance, Volume 25, January 2013, Pages 282–290.

Abstract:     
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, G15

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Date posted: August 8, 2012 ; Last revised: November 17, 2013

Suggested Citation

Erdogan, Oral and Tata, Kenan and Karahasan, Burhan Can and Sengoz, Hakan, Dynamics of the Co-Movement between Stock and Maritime Markets (July 20, 2012). International Review of Economics & Finance, Volume 25, January 2013, Pages 282–290. . Available at SSRN: http://ssrn.com/abstract=2126505

Contact Information

Oral Erdogan (Contact Author)
Piri Reis University-Faculty of Economics and Adm. Sciences ( email )
Postane Mahallesi
Tuzla
Istanbul, 34940
Turkey
Kenan Tata
Turkon Holding ( email )
FAHRETTİN KERİM GÖKAY CAD.
NO: 33 ALTUNİZADE
Istanbul
Turkey
Burhan Can Karahasan
Okan University ( email )
Istanbul
Turkey
Hakan M Sengoz
Istanbul University - Faculty of Business Administration
Avcilar Kampusu
Istanbul, 34320
Turkey
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