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Modelling Stock Returns and Risk Management in the Shipping Industry

Author

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  • Sunil K. Mohanty

    (Department of Finance, Koppelman School of Business, Brooklyn College, The City University of New York, Brooklyn, NY 11210, USA)

  • Roar Aadland

    (Department of Business and Management Science, Norwegian School of Economics, 5045 Bergen, Norway)

  • Sjur Westgaard

    (Department of Industrial Economics and Technology Management, Norwegian University of Science and Technology, 7030 Trondheim, Norway)

  • Stein Frydenberg

    (NTNU Business School, Norwegian University of Science and Technology, 7030 Trondheim, Norway)

  • Hilde Lillienskiold

    (NTNU Business School, Norwegian University of Science and Technology, 7030 Trondheim, Norway)

  • Cecilie Kristensen

    (NTNU Business School, Norwegian University of Science and Technology, 7030 Trondheim, Norway)

Abstract

We estimate the impact of macroeconomic risk factors on shipping stock returns, using a quantile regression (QR) model. We regress the excess return of a portfolio for the container, dry bulk, chemical/gas, oil tanker, and diversified shipping sectors on the world market portfolio excess return, volatility index, and changes in the oil price, exchange rate, and interest rate. The sensitivities of stock returns to the risk factors differ across quantiles and shipping segments and are found to be significant for the volatility index, world market portfolio return, exchange rate, and changes in long-term interest rate with variation over quantiles. This provides evidence of asymmetric and heterogeneous dependence between stock returns and certain macroeconomic risk variables. The results of the study also suggest that standard OLS regression is inadequate to uncover the risk-return relation.

Suggested Citation

  • Sunil K. Mohanty & Roar Aadland & Sjur Westgaard & Stein Frydenberg & Hilde Lillienskiold & Cecilie Kristensen, 2021. "Modelling Stock Returns and Risk Management in the Shipping Industry," JRFM, MDPI, vol. 14(4), pages 1-25, April.
    • Handle: RePEc:gam:jjrfmx:v:14:y:2021:i:4:p:171-:d:533190
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    References listed on IDEAS

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