Dynamics of the co-movement between stock and maritime markets
Küçük Resim Yok
Tarih
2013
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Elsevier Science Bv
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
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.
Açıklama
Anahtar Kelimeler
Stock Markets, Maritime Markets, Financial Crisis, Multivariate Volatility Modeling, International Stock, Exchange-Rates, Multivariate, Integration, Returns, Prices, Models, Bond
Kaynak
International Review of Economics & Finance
WoS Q Değeri
Q2
Scopus Q Değeri
Q1
Cilt
25
