Information flow between revenue and stock exchanges: An empirical research on liner shipping companies

Abdullah Açık,Esra Baran Kasapoğlu,İlke Ayaz

doi:10.14254/jsdtl.2021.6-1.7

Abdullah Açık, Esra Baran Kasapoğlu + Show 1 more

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https://doi.org/10.14254/jsdtl.2021.6-1.7

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Abstract

The aim of this research is to test the volatility spillover between the stock values of the major liner shipping companies in the world and the freight indices measuring the freight revenues in the container market. The dataset in the study consists of 9 stock values of the top 10 biggest liner companies in 2018 and 3 container freight indices on weekly basis covering the period between 05.11.2010 and 06.07.2018. Volatility spillovers have been determined to some companies' stock values from some container freight indices, and the most influential freight index has been determined as New ConTex. Moreover, some volatility spillovers from some companies' stock values to freight indices have been also determined. These results suggest that some stock investors position their portfolios in the market according to the flow of information from freight indices while some investors position by following macro variables.

Highlights

Considering the container transportation sector, the demand for this sector is derived demand, it is directly affected by the situation in the world economy
Volatility spillovers have been determined to some companies' stock values from some container freight indices, and the most influential freight index has been determined as New ConTex
Some volatility spillovers from some companies' stock values to freight indices have been determined. These results suggest that some stock investors position their portfolios in the market according to the flow of information from freight indices while some investors position by following macro variables

Summary

Introduction

Considering the container transportation sector, the demand for this sector is derived demand, it is directly affected by the situation in the world economy. As a continuation of this mechanism, it can be said that macro variables have a direct impact on the profitability of companies since they affect the demand for maritime transportation These internal factors such as profitability and financial performance can affect stock values of liner companies either positively or negatively. It is inevitable for stock values of the liner companies to have a flow of information from indices indicating the revenue status in the market and from macroeconomic variables At this point, in this study, the causality in variances among the stock prices of liner shipping companies entering the top 10 in the world and the freight indices used in the container freight market are examined.

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