Modelling Stock Returns and Risk Management in the Shipping Industry

Sunil K. Mohanty, Roar Aadland, Sjur Westgaard, Stein Frydenberg, Hilde Lillienskiold and Cecilie Kristensen
Additional contact information
Sunil K. Mohanty: Department of Finance, Koppelman School of Business, Brooklyn College, The City University of New York, Brooklyn, NY 11210, USA
Roar Aadland: Department of Business and Management Science, Norwegian School of Economics, 5045 Bergen, Norway
Sjur Westgaard: Department of Industrial Economics and Technology Management, Norwegian University of Science and Technology, 7030 Trondheim, Norway
Stein Frydenberg: NTNU Business School, Norwegian University of Science and Technology, 7030 Trondheim, Norway
Hilde Lillienskiold: NTNU Business School, Norwegian University of Science and Technology, 7030 Trondheim, Norway
Cecilie Kristensen: NTNU Business School, Norwegian University of Science and Technology, 7030 Trondheim, Norway

JRFM, 2021, vol. 14, issue 4, 1-25

Abstract: We estimate the impact of macroeconomic risk factors on shipping stock returns, using a quantile regression (QR) model. We regress the excess return of a portfolio for the container, dry bulk, chemical/gas, oil tanker, and diversified shipping sectors on the world market portfolio excess return, volatility index, and changes in the oil price, exchange rate, and interest rate. The sensitivities of stock returns to the risk factors differ across quantiles and shipping segments and are found to be significant for the volatility index, world market portfolio return, exchange rate, and changes in long-term interest rate with variation over quantiles. This provides evidence of asymmetric and heterogeneous dependence between stock returns and certain macroeconomic risk variables. The results of the study also suggest that standard OLS regression is inadequate to uncover the risk-return relation.

Keywords: shipping stocks; ordinary least square; quantile regression; conditional distribution; asymmetric dependence (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.mdpi.com/1911-8074/14/4/171/pdf (application/pdf)
https://www.mdpi.com/1911-8074/14/4/171/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jjrfmx:v:14:y:2021:i:4:p:171-:d:533190

Access Statistics for this article

JRFM is currently edited by Ms. Chelthy Cheng

More articles in JRFM from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().