IDEAS home Printed from https://ideas.repec.org/a/taf/applec/v53y2021i11p1235-1248.html
   My bibliography  Save this article

Fear index and freight rates in dry-bulk shipping markets

Author

Listed:
  • Chih-Yuan Wu
  • Heng-Chih Chou
  • Chiung-Lin Liu

Abstract

This study constructs a fear index for the dry-bulk shipping market. Principal component analysis and min-max scaling are employed to extract the fear sentiment of the four dry-bulk vessel sectors. The main findings are as follows: (1) the fear index could play as a contrarian predictor of the freight rate; (2) the fear index spiked sharply responding to the major financial risk events; (3) ship operators are less risk-averse than investors in financial markets, so the asymmetric effect of the fear index on the freight-rate return is unique; and (4) the fright-rate volatility is positively affected by the fear index, and the asymmetry varies by the vessel sizes. These findings demonstrate that the fear index increases the predictability of freight rate, and helps investors to measure the level of risk or stress in the market.

Suggested Citation

  • Chih-Yuan Wu & Heng-Chih Chou & Chiung-Lin Liu, 2021. "Fear index and freight rates in dry-bulk shipping markets," Applied Economics, Taylor & Francis Journals, vol. 53(11), pages 1235-1248, March.
    • Handle: RePEc:taf:applec:v:53:y:2021:i:11:p:1235-1248
    DOI: 10.1080/00036846.2020.1827140
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/00036846.2020.1827140
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/00036846.2020.1827140?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:applec:v:53:y:2021:i:11:p:1235-1248. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEC20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.