The Stock Market Perception of Industry Risk and Macroeconomic Factors: The Case of the US Water Transportation Industry Versus Other Transport Industries

International Journal of Maritime Economics, July-September 2000, Vol. 2, No 3, 235-256

Posted: 18 Feb 2014

See all articles by Stelios Markoulis

Stelios Markoulis

University of Cyprus - Department of Public and Business Administration; Frederick University; Cyprus International Institute of Management (CIIM)

Manolis G. Kavussanos

Athens University of Economics and Business - Department of Accounting and Finance

Date Written: 2000

Abstract

This paper attempts to uncover and compare the macroeconomic determinants of the stock returns of US listed water transportation companies to those of other transport sectors over the period July 1985-June 1995; these involve air transportation, rail transportation and trucks. Other, non-transport sectors such as electricity, gas, petroleum refining and real estate are also examined. This is done by relating cross-sectional differences in the returns of the companies in each industry to the stock market and to the following set of macro-economic factors: (1) industrial production, (2) the term structure of interest rates, (3) oil prices, (4) consumption, and (5) inflation. Multivariate Least Square (MLSQ) regression methods are employed to estimate the above relationships. Important findings of this paper are: First, the effect of macroeconomic factors on stock returns varies among transportation industries and the other industries examined. Second, the stock market return influences the returns of all industries. Thirdly, the market beta of the water transportation industry does not appear to be significantly higher, or lower, to the market beta of the remaining transportation, and non-transportation, sectors analysed.

Suggested Citation

Markoulis, Stelios and Kavussanos, Manolis G., The Stock Market Perception of Industry Risk and Macroeconomic Factors: The Case of the US Water Transportation Industry Versus Other Transport Industries (2000). International Journal of Maritime Economics, July-September 2000, Vol. 2, No 3, 235-256. Available at SSRN: https://ssrn.com/abstract=1435274

Stelios Markoulis

University of Cyprus - Department of Public and Business Administration ( email )

75 Kallipoleos Street
P.O. Box 20537
Nicosia CY-1678
CYPRUS

Frederick University ( email )

7, Y. Frederickou Str.
Pallouriotisa
Nicosia, 1036
Cyprus

Cyprus International Institute of Management (CIIM) ( email )

P.O Box 20378
Aglandjia
Nicosia, CY-2151
Cyprus

Manolis G. Kavussanos (Contact Author)

Athens University of Economics and Business - Department of Accounting and Finance ( email )

76 Patission St
TK 104 34 Athens
Greece
0030 210 8203167 (Phone)
0030 210 8228816 (Fax)

Here is the Coronavirus
related research on SSRN

Paper statistics

Abstract Views
138
PlumX Metrics