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Commodity Prices and Dry Bulk Shipping Stock Returns

In: Advances in Empirical Economic Research

Author

Listed:
  • Nektarios A. Michail

    (Central Bank of Cyprus & School of Economics and Business, Cyprus University of Technology)

  • Konstantinos D. Melas

    (University of Western Macedonia
    Metropolitan College)

Abstract

We explore the relationship between the returns of 64 dry bulk shipping company stock prices and the main 15 commodities that bulk carriers transport. Using a principal component analysis to reduce the dimensionality of the commodities dataset and a panel methodology, we find that a change in the commodity price principal component would result in a 0.6% change in the returns of the shipping stock prices. Minerals appear to have a stronger impact, as a 1% change in the minerals principal component results in a 1.1% change in the returns. This is mainly due to the fact that minerals account for larger trade volumes in the dry bulk market and they employ mostly bigger vessels, while the price of Brent oil is also an important factor affecting shipping stock prices.

Suggested Citation

  • Nektarios A. Michail & Konstantinos D. Melas, 2023. "Commodity Prices and Dry Bulk Shipping Stock Returns," Springer Proceedings in Business and Economics, in: Nicholas Tsounis & Aspasia Vlachvei (ed.), Advances in Empirical Economic Research, chapter 0, pages 517-526, Springer.
    • Handle: RePEc:spr:prbchp:978-3-031-22749-3_32
    DOI: 10.1007/978-3-031-22749-3_32
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    More about this item

    Keywords

    Shipping; Dry bulk market; Commodities; Principal component analysis;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G20 - Financial Economics - - Financial Institutions and Services - - - General

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