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Dynamics of the co-movement between stock and maritime markets
(Elsevier Science Bv, 2013) Erdogan, Oral; Tata, Kenan; Karahasan, B. Can; Sengoz, M. Hakan
This study demonstrates the existence of economically significant information spillovers between stock markets and markets for shipping freight by sea. Using multivariate correlation models on the returns of the Dow Jones Industrial Average (DJIA) and the Baltic Dry Index (BM), we find mutual feedback between the two markets, which becomes stronger during the periods of financial turmoil. Results also suggest that the extent of information spillover between the markets varies over time, depending on market-specific conditions. We conclude that, being an indispensable factor for price discovery, such a relationship provides a link between two markets that are otherwise rather distinct with respect to the assessment of available information and real activity. (C) 2012 Elsevier Inc. All rights reserved.