Please use this identifier to cite or link to this item:
https://hdl.handle.net/20.500.14279/29598
Title: | Dynamic volatility spillovers and investor sentiment components across freight-shipping markets |
Authors: | Melas, Konstantinos D. Panayides, Photis Tsouknidis, Dimitris |
Major Field of Science: | Social Sciences |
Field Category: | Economics and Business |
Keywords: | Volatility spillovers;Freight-shipping markets;Shipping sentiment;VAR models;Panel data |
Issue Date: | 1-Jun-2022 |
Source: | Maritime Economics and Logistics, 2022, vol. 24, no. 2, pp.368–394 |
Volume: | 24 |
Issue: | 2 |
Start page: | 368 |
End page: | 394 |
Journal: | Maritime Economics and Logistics |
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. |
URI: | https://hdl.handle.net/20.500.14279/29598 |
ISSN: | 14792931 |
DOI: | 10.1057/s41278-021-00209-3 |
Rights: | © The Author(s), under exclusive licence to Springer Nature Limited |
Type: | Article |
Affiliation : | The Cyprus Centre for Business Research Cyprus University of Technology Athens University of Economics and Business |
Publication Type: | Peer Reviewed |
Appears in Collections: | Άρθρα/Articles |
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