Stock Market Returns and Shipping Freight Market Information: Yet Another Puzzle!

42 Pages Posted: 6 Aug 2011 Last revised: 21 Sep 2011

Amir H. Alizadeh

City University London - Sir John Cass Business School

Yaz Gulnur Muradoglu

Queen Mary University of London; City University London - Sir John Cass Business School

Date Written: July 4, 2011

Abstract

Changes in shipping freight rates predict stock market returns. In today’s global world, where economies are linked through international trade, shipping freight rates carry information about economic activity which is reflected in stock returns. Our results are statistically and economically significant and cannot be explained by time-varying risk premia as shipping freight rate changes significantly predict negative excess returns. Consistent with the delayed reaction hypothesis, it seems that investors are slow in responding to the information on changes in shipping freight rates. Moreover, results are robust across world and international stock indexes.

Keywords: Stock returns, freight rates, shipping, market efficiency

JEL Classification: G11, G14, G17, E44

Suggested Citation

Alizadeh, Amir H. and Muradoglu, Yaz Gulnur, Stock Market Returns and Shipping Freight Market Information: Yet Another Puzzle! (July 4, 2011). Available at SSRN: https://ssrn.com/abstract=1905590 or http://dx.doi.org/10.2139/ssrn.1905590

Amir H. Alizadeh (Contact Author)

City University London - Sir John Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom

Yaz Gulnur Muradoglu

Queen Mary University of London ( email )

Francis Bancroft Building
Mile End Road
London, E1 4NS
United Kingdom

City University London - Sir John Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom
+44 20 7040 0124 (Phone)
+44 20 7040 8853 (Fax)

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