Dynamic volatility spillovers and investor sentiment components across freight-shipping markets

Konstantinos D. Melas, Photis M. Panayides () and Dimitris Tsouknidis
Additional contact information
Konstantinos D. Melas: University of Western Macedonia
Photis M. Panayides: Cyprus University of Technology

Maritime Economics & Logistics, 2022, vol. 24, issue 2, No 10, 368-394

Abstract: Abstract This paper investigates whether dynamic volatility spillovers across freight-shipping markets can be explained by a comprehensive set of indicators capturing shipping investors’ sentiment. Our results reveal that an increase in the ratio of second-hand over newbuilding vessel price triggers an increase of the transmission of economic information within both the dry-bulk and tanker segments, while an increase in the ratio of price-to-earnings, as well as in the ratio of vessels sold over vessels of the global fleet also trigger an increase of the economic information transmission within each of 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 freight-shipping markets.

Keywords: Volatility spillovers; Freight-shipping markets; Shipping sentiment; VAR models; Panel data (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://link.springer.com/10.1057/s41278-021-00209-3 Abstract (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:pal:marecl:v:24:y:2022:i:2:d:10.1057_s41278-021-00209-3

Ordering information: This journal article can be ordered from
http://www.springer. ... nt/journal/41278/PS2

DOI: 10.1057/s41278-021-00209-3

Access Statistics for this article

Maritime Economics & Logistics is currently edited by Hercules E. Haralambides

More articles in Maritime Economics & Logistics from Palgrave Macmillan, International Association of Maritime Economists (IAME) Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().