Stock market efficiency and international shipping-market information

Amir H. Alizadeh and Yaz Muradoglu

Journal of International Financial Markets, Institutions and Money, 2014, vol. 33, issue C, 445-461

Abstract: Changes in international shipping freight rates can predict US and international stock market returns. In today’s global world where economies are linked, shipping freight rates carry information about economic activity and stock returns. Using US size and sector indices we find that shipping market movements can explain returns and volatility of stock indices. The results are economically significant and cannot be explained by time-varying risk premia thus constituting a challenge to the EMH. Consistent with the gradual information-diffusion hypothesis, investors are slow in responding to the information from changes in shipping freight rates across industries and around the world.

Keywords: Stock returns; Freight rates; Shipping; Market efficiency (search for similar items in EconPapers)
JEL-codes: E44 G11 G14 G17 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:33:y:2014:i:c:p:445-461

DOI: 10.1016/j.intfin.2014.10.002

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