Dynamic Volatility Spillovers and Investor Sentiment Components Across Shipping Freight Rates
32 Pages Posted: 5 Feb 2021
Date Written: November 28, 2020
This paper investigates whether dynamic volatility spillovers across shipping freight markets can be explained by a comprehensive set of indicators capturing shipping investors’ sentiment. The results of this study reveal that an increase of the ratio of second-hand vessel price over newbuilding vessel price triggers an increase of the transmission of economic information within the dry-bulk and tanker segments; while an increase in the ratio of price to earnings and the ratio of the number of vessels sold over the number of vessels of the global fleet also trigger an increase of the economic information transmission within the dry-bulk and tanker vessels, respectively. These results have important implications for shipping market players as they reveal novel mechanisms of the transmission of economic information within the segments and across the sub-segments of shipping freight markets.
Keywords: Volatility Spillovers, Shipping Sentiment, VAR Models, Panel Data
JEL Classification: G11, G12, G13, G20
Suggested Citation: Suggested Citation