Dynamic Volatility Spillovers and Investor Sentiment Components Across Shipping Freight Rates

32 Pages Posted: 5 Feb 2021

See all articles by Konstantinos D. Melas

Konstantinos D. Melas

Metropolitan College, Greece - Faculty of Business and Economics

Photis Panayides

Cyprus University of Technology

Dimitris A. Tsouknidis

University of Piraeus - Department of Maritime Studies

Date Written: November 28, 2020

Abstract

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

Melas, Konstantinos and Panayides, Photis and Tsouknidis, Dimitris A., Dynamic Volatility Spillovers and Investor Sentiment Components Across Shipping Freight Rates (November 28, 2020). Available at SSRN: https://ssrn.com/abstract=3738890 or http://dx.doi.org/10.2139/ssrn.3738890

Konstantinos Melas (Contact Author)

Metropolitan College, Greece - Faculty of Business and Economics ( email )

74, Sorou St.
Maroussi, 15125
Greece

Photis Panayides

Cyprus University of Technology ( email )

Limassol, 3603
Cyprus

Dimitris A. Tsouknidis

University of Piraeus - Department of Maritime Studies ( email )

80, Karaoli and Dimitriou str.
Piraeus, Attiki 18534
Greece

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