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

Author

Listed:
  • Konstantinos D. Melas

    (University of Western Macedonia
    Metropolitan College
    Cyprus Centre for Business Research)

  • Photis M. Panayides

    (Cyprus University of Technology)

  • Dimitris A. Tsouknidis

    (Athens University of Economics and Business)

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.

Suggested Citation

  • Konstantinos D. Melas & Photis M. Panayides & Dimitris A. Tsouknidis, 2022. "Dynamic volatility spillovers and investor sentiment components across freight-shipping markets," Maritime Economics & Logistics, Palgrave Macmillan;International Association of Maritime Economists (IAME), vol. 24(2), pages 368-394, June.
    • Handle: RePEc:pal:marecl:v:24:y:2022:i:2:d:10.1057_s41278-021-00209-3
    DOI: 10.1057/s41278-021-00209-3
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