International comparison of market risks across shipping-related industries

Manolis Kavussanos (), Arne Juell-Skielse and Matthew Forrest

Maritime Policy & Management, 2003, vol. 30, issue 2, 107-122

Abstract: This paper compares the behaviour of shipping and shipping-related company stock returns to reveal whether systematic risk differs from the average in the market and across sub-sectors of the maritime industry. Following an extensive collection of information through a postal questionnaire survey, 108 publicly listed shipping and shipping-related companies, across stock exchanges of the world, are classified by sector according to their core business activity. The Capital Asset Pricing Model (CAPM) is employed for the period 1996--1999 to model stock returns and measure sector g s (systematic risk). Stock returns over the period are mostly negative. The systematic risks of the Drilling and Offshore sectors are significantly higher than those of all other sectors, but are not different from each other. There is no significant difference between the systematic risks of the Bulk, Tanker, Container and Ferry sectors. The systematic risk of the Cruise sector lies somewhere between these two groups. There is no difference in the systematic risk of companies that diversified within shipping or shipping-related industries when compared to companies that diversified in other areas. Over all companies in the sample, g is lower than the market average, and so are the g s of the Ferry, Tanker, Bulk, Container and Yard sectors. Only the g of the Drilling sector is statistically higher than one, while the Cruise, Diversified and Offshore sectors are statistically one.

Date: 2003
References: View complete reference list from CitEc
Citations: View citations in EconPapers (12)

Downloads: (external link)
http://hdl.handle.net/10.1080/0308883032000069271 (text/html)
Access to full text is restricted to subscribers.

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:taf:marpmg:v:30:y:2003:i:2:p:107-122

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/TMPM20

DOI: 10.1080/0308883032000069271

Access Statistics for this article

Maritime Policy & Management is currently edited by Dr Kevin Li and Heather Leggate McLaughlin

More articles in Maritime Policy & Management from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().