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New Evidence on the Information and Predictive Content of the Baltic Dry Index

Author

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  • Nicholas Apergis

    () (Department of Banking and Financial Management, University of Piraeus, 80 Karaoli & Dimitriou, Piraeus 18534, Greece)

  • James E. Payne

    () (Department of Economics and Finance, University of New Orleans, 2000 Lakeshore Drive, New Orleans, LA 70148, USA)

Abstract

This empirical study analyzes the information and predictive content of the Baltic Dry Index (BDI) with respect to a range of financial assets and the macroeconomy. By using panel methodological approaches and daily data spanning the period 1985–2012, the empirical analysis documents the joint predictability capacity of the BDI for both financial assets and industrial production. The results reveal the role of the BDI in predicting the future course of the real economy, yielding a link between financial asset markets and the macroeconomy.

Suggested Citation

  • Nicholas Apergis & James E. Payne, 2013. "New Evidence on the Information and Predictive Content of the Baltic Dry Index," International Journal of Financial Studies, MDPI, Open Access Journal, vol. 1(3), pages 1-19, July.
  • Handle: RePEc:gam:jijfss:v:1:y:2013:i:3:p:62-80:d:27458
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    References listed on IDEAS

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    Cited by:

    1. Papapostolou, Nikos C. & Pouliasis, Panos K. & Nomikos, Nikos K. & Kyriakou, Ioannis, 2016. "Shipping investor sentiment and international stock return predictability," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 96(C), pages 81-94.
    2. Tsouknidis, Dimitris A., 2016. "Dynamic volatility spillovers across shipping freight markets," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 91(C), pages 90-111.
    3. Batrinca Ghiorghe & Cojanu Gianina & Surugiu Ioana, 2013. "Application of autoregressive models for forecasting the Baltic Exchange Dry Index," Constanta Maritime University Annals, Constanta Maritime University, vol. 20(2), pages 205-208.
    4. Graham, Michael & Peltomäki, Jarkko & Piljak, Vanja, 2016. "Global economic activity as an explicator of emerging market equity returns," Research in International Business and Finance, Elsevier, vol. 36(C), pages 424-435.

    More about this item

    Keywords

    Baltic Dry Index; asset markets; macroeconomy; panel data;

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services
    • G3 - Financial Economics - - Corporate Finance and Governance
    • F2 - International Economics - - International Factor Movements and International Business
    • F3 - International Economics - - International Finance
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission

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