EconPapers    
Economics at your fingertips  
 

Dynamics of the co-movement between stock and maritime markets

Oral Erdoğan, Kenan Tata, Burhan Karahasan and M. Hakan Sengoz

International Review of Economics & Finance, 2013, vol. 25, issue C, 282-290

Abstract: This study demonstrates the existence of economically significant information spillovers between stock markets and markets for shipping freight by sea. Using multivariate correlation models on the returns of the Dow Jones Industrial Average (DJIA) and the Baltic Dry Index (BDI), we find mutual feedback between the two markets, which becomes stronger during the periods of financial turmoil. Results also suggest that the extent of information spillover between the markets varies over time, depending on market-specific conditions. We conclude that, being an indispensable factor for price discovery, such a relationship provides a link between two markets that are otherwise rather distinct with respect to the assessment of available information and real activity.

Keywords: Stock markets; Maritime markets; Financial crisis; Multivariate volatility modeling (search for similar items in EconPapers)
JEL-codes: C32 G11 G15 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1059056012000676
Full text for ScienceDirect subscribers only

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:eee:reveco:v:25:y:2013:i:c:p:282-290

DOI: 10.1016/j.iref.2012.07.007

Access Statistics for this article

International Review of Economics & Finance is currently edited by H. Beladi and C. Chen

More articles in International Review of Economics & Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2024-06-10
Handle: RePEc:eee:reveco:v:25:y:2013:i:c:p:282-290