Συλλογές
Τίτλος Research on the lead- lag relationship between freight rate indices and shipping stock indices in the United States Market
Δημιουργός Κακομήτα, Δέσποινα
Συντελεστής Καβουσανός, Εμμανουήλ
Οικονομικό Πανεπιστήμιο Αθηνών, Τμήμα Λογιστικής και Χρηματοοικονομικής
Τύπος Text
Φυσική περιγραφή 77 σ.
Γλώσσα en
Περίληψη This dissertation aims to examine the lead-lag relationship between shipping stock indices and freight rate indices. Our interest focuses on the United States market, as the United States is by far the largest and most liquid market for listed shipping companies with a well developed analyst and investor base.Our sample period extends from January 2005 to July 2011. The dataset we chose consists of daily indices prices. During this period, some very significant events, such as the financial and banking crisis originated in the Unites States market in mid-2008, shook global financial markets. Examining the relationship between freight indices and shipping stock indices before and after the crisis is certainly interesting since these turbulent periods are supposed to have affected indices dynamics.In particular, the possible relationship between freight indices and shipping stock indices is investigated by utilizing the following econometric techniques. In the first step, the stationarity of the series is tested through unit root tests. Given that series are I(1), the long-term relationships between indices are explored by using Johansen cointegration analysis. For each pair of cointegrated indices a VECM-SURE model (Vector Error Correction Model estimated by Seemingly Unrelated Regression Estimation) is created in order to test the influence of one index to the other. Impulse response functions of the VECM-SURE models are presented and analysed in order to obtain a more detailed insight on the causal relationship between freight indices and shipping stock indices.
Λέξη κλειδί Freight Indices
Shipping Stock Indices
United States Market
Banking Crisis
Ημερομηνία έκδοσης 23-11-2011
Άδεια χρήσης https://creativecommons.org/licenses/by/4.0/