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

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.

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    • © The Authors, under exclusive licence to Springer Nature Limited 2022. The contents of this paper reflect the views of the authors and do not necessarily reflect the official views or policies of the Transportation Research Board or the National Academy of Sciences.
  • Authors:
    • Melas, Konstantinos D
    • Panayides, Photis M
    • Tsouknidis, Dimitris A
  • Publication Date: 2022-6

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  • English

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  • Accession Number: 01856393
  • Record Type: Publication
  • Files: TRIS
  • Created Date: Aug 29 2022 9:27AM