Dynamics of the co-movement between stock and maritime markets

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dc.authoridERDOGAN, ORAL/0000-0002-9508-5777
dc.authorwosidErdogan, Oral/AAL-3208-2020
dc.authorwosidERDOGAN, ORAL/G-2900-2018
dc.contributor.authorErdogan, Oral
dc.contributor.authorTata, Kenan
dc.contributor.authorKarahasan, B. Can
dc.contributor.authorSengoz, M. Hakan
dc.date.accessioned2024-07-18T20:42:44Z
dc.date.available2024-07-18T20:42:44Z
dc.date.issued2013
dc.departmentİstanbul Bilgi Üniversitesien_US
dc.description.abstractThis 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.en_US
dc.identifier.doi10.1016/j.iref.2012.07.007
dc.identifier.endpage290en_US
dc.identifier.issn1059-0560
dc.identifier.issn1873-8036
dc.identifier.scopus2-s2.0-84865048938en_US
dc.identifier.scopusqualityQ1en_US
dc.identifier.startpage282en_US
dc.identifier.urihttps://doi.org/10.1016/j.iref.2012.07.007
dc.identifier.urihttps://hdl.handle.net/11411/7401
dc.identifier.volume25en_US
dc.identifier.wosWOS:000310944800022en_US
dc.identifier.wosqualityQ2en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherElsevier Science Bven_US
dc.relation.ispartofInternational Review of Economics & Financeen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectStock Marketsen_US
dc.subjectMaritime Marketsen_US
dc.subjectFinancial Crisisen_US
dc.subjectMultivariate Volatility Modelingen_US
dc.subjectInternational Stocken_US
dc.subjectExchange-Ratesen_US
dc.subjectMultivariateen_US
dc.subjectIntegrationen_US
dc.subjectReturnsen_US
dc.subjectPricesen_US
dc.subjectModelsen_US
dc.subjectBonden_US
dc.titleDynamics of the co-movement between stock and maritime marketsen_US
dc.typeArticleen_US

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