Dynamic Volatility Spillovers and Investor Sentiment Components Across Shipping Freight Rates

Dynamic volatility spillovers and investor sentiment components across freight-shipping markets. Marit Econ Logist 24, 368–394 (2022). https://doi.org/10.1057/s41278-021-00209-3

27 Pages Posted: 5 Feb 2021 Last revised: 28 Oct 2022

See all articles by Konstantinos D. Melas

Konstantinos D. Melas

Metropolitan College, Greece - Faculty of Business and Economics; University of Western Macedonia

Photis Panayides

Cyprus University of Technology

Dimitris A. Tsouknidis

Athens University of Economics and Business

Date Written: January 28, 2022

Abstract

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

Keywords: Volatility Spillovers, Shipping Sentiment, VAR Models, Panel Data

JEL Classification: G11, G12, G13, G20

Suggested Citation

Melas, Konstantinos and Panayides, Photis and Tsouknidis, Dimitris A., Dynamic Volatility Spillovers and Investor Sentiment Components Across Shipping Freight Rates (January 28, 2022). Dynamic volatility spillovers and investor sentiment components across freight-shipping markets. Marit Econ Logist 24, 368–394 (2022). https://doi.org/10.1057/s41278-021-00209-3, Available at SSRN: https://ssrn.com/abstract=3738890 or http://dx.doi.org/10.2139/ssrn.3738890

Konstantinos Melas (Contact Author)

Metropolitan College, Greece - Faculty of Business and Economics ( email )

74, Sorou St.
Maroussi, 15125
Greece

University of Western Macedonia ( email )

Kozani
Kozani
Greece

Photis Panayides

Cyprus University of Technology ( email )

Limassol, 3603
Cyprus

Dimitris A. Tsouknidis

Athens University of Economics and Business ( email )

76 Patission Street
GR-104 34 Athens
Greece

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