STOCK MARKET AS AN INDICATOR OF MARITIME TRANSPORT DEMAND: AN EVIDENCE FROM TURKEY AND ISTFIX REGION

Yıl 2018, Cilt: 20 Sayı: 4, 77 - 88, 31.10.2018

Sadık Özlen Başer Abdullah Açık

Öz

The aim of this study
is to determine asymmetric causal relationship between Turkish economy and
freight rates in the ISTFIX region by separating the positive and negative
shocks in the variables. Therefore, asymmetric causality test developed by
Hatemi-J is used. Unlike other studies, some stock market variables in Turkey
are selected as economic indicators and included in the analysis. Selected
stock market variables are BIST 100, BIST Industrial and BIST Transportation
indices. The data set used in the study consists of 558 observations on a
weekly basis covering the dates between 1st January 2018 and 10th September
2018. As a result of the study, while causal relationships are expected between
both negative and positive shocks, only negative shocks in all three stock
exchanges are found to cause negative shocks in the ISTFIX index. This results
suggest that negative news in the economy is felt directly in the maritime
market, but the impact of positive news is not immediately reflected.
Furthermore, it is thought that the producers refrain from ordering more raw
materials when they encounter negative shocks in the market and negatively
affect the demand for sea transportation, which also causes to decrease in the
freight rates. These results also indicate that the stock values in Turkey may
be a leading indicator for the freight market in the ISTFIX region.

Anahtar Kelimeler

Asymmetric causality, ISTFIX, Stock exchange, Freight market

Kaynakça

• Adaramola, A. O. (2011). The Impact of Macroeconomic Indicators on Stock Prices in Nigeria. Developing Country Studies, 1(2), 1-14.
• Ake, B. (2010). The Role of Stock Market Development in Economic Growth: Evidence from Some Euronext Countries. International Journal of Financial Research, 1(1),14-20.
• Ali, I., Rehman, K. U., Yilmaz, A. K., Khan, M. A., & Afzal, H. (2010). Causal Relationship Between Macro-Economic Indicators and Stock Exchange Prices in Pakistan. African Journal of Business Management, 4(3), 312-319.
• Aylward, A., & Glen, J. (2000). Some International Evidence on Stock Prices as Leading Indicators of Economic Activity. Applied Financial Economics, 10(1), 1-14.
• Bildirici, M. E., & Turkmen, C. (2015). Nonlinear Causality Between Oil and Precious Metals. Resources Policy, 46, 202-211.
• Bornozis, N. (2006). Dry Bulk Shipping: The Engine of Global Trade. White Paper.
• Chaudhuri, K., & Smiles, S. (2004). Stock Market and Aggregate Economic Activity: Evidence from Australia. Applied Financial Economics, 14(2), 121-129.
• Chistè, C., & Van Vuuren, G. (2014). Investigating The Cyclical Behavior of the Dry Bulk Shipping Market. Maritime Policy & Management, 41(1), 1-19.
• Chou, M. T., Su, Y. L., Chou, T. Y., & Liang, H. U. (2015). An Analysis of the Relationship between Asian Steel Index and the Baltic Capsize Index. Modern Economy, 6(02), 207-216.
• Dai, L., Hu, H., Chen, F., & Zheng, J. (2015). The Dynamics Between Newbuilding Ship Price Volatility and Freight Volatility in Dry Bulk Shipping Market. International Journal of Shipping and Transport Logistics, 7(4), 393-406.
• Dura, Y. C., Beser, M. K., & Acaroglu, H. (2017). Türkiye'nin Ihracata Dayali Büyümesinin Ekonometrik Analizi. Ege Akademik Bakis, 17(2), 295.
• Enisan, A. A., & Olufisayo, A. O. (2009). Stock Market Development and Economic Growth: Evidence from Seven Sub-Sahara African Countries. Journal of Economics and Business, 61(2), 162-171.
• Granger, C. W. (1969). Investigating Causal Relations by Econometric Models and Cross-Spectral Methods. Econometrica: Journal of the Econometric Society, 424-438.Hatemi-j, A. (2012). Asymmetric Causality Tests with an Application. Empirical Economics, 43(1), 447-456.
• Hatemi-J, A., & Uddin, G. S. (2012). Is The Causal Nexus of Energy Utilization and Economic Growth Asymmetric in the US?. Economic Systems, 36(3), 461-469.
• Hussainey, K., & Khanh Ngoc, L. (2009). The Impact of Macroeconomic Indicators on Vietnamese Stock Prices. The Journal of Risk Finance, 10(4), 321-332.
• Investing (2018). Stock Market Indices, https://tr.investing.com/, Accessed on: 20.08.2018.
• ISTFIX (2018). Istanbul Freight Index, http://www.istfix.com/.
• Karamperidis, S., Jackson, E., & Mangan, J. (2013). The Use of Indices in the Maritime Transport Sector. Maritime Policy & Management, 40(4), 339-350.
• Köseoğlu, S. D., & Mercangöz, B. A. (2012). 2008 Küresel Finansal Krizinin Küçük Tonaj Gelirleri Üzerindeki Etkisinin Yapısal Kırılma Testi ile Araştırılması. Dokuz Eylül Üniversitesi Denizcilik Fakültesi Dergisi, 4(1).
• Kwon, C. S., & Shin, T. S. (1999). Cointegration and Causality between Macroeconomic Variables and Stock Market Returns. Global Finance Journal, 10(1), 71-81.
• Lee, M., & Gan, C. (2006). Macroeconomic Variables and Stock Market Interactions: New Zealand Evidence. Investment Management and Financial Innovations, 3, 4.
• Lun, Y. V., & Quaddus, M. A. (2008). An empirical Model of the Bulk Shipping Market. International Journal of Shipping and Transport Logistics, 1(1), 37-54.
• Maysami, R. C., Howe, L. C., & Rahmat, M. A. (2005). Relationship between Macroeconomic Variables and Stock Market Indices: Cointegration Evidence from Stock Exchange of Singapore's All-S Sector Indices. Jurnal Pengurusan (UKM Journal of Management), 24.
• McMillan, D. (2005). Time variation in The Cointegrating Relationship between Stock Prices and Economic Activity. International Review of Applied Economics, 19 ,359-68.
• Mukherjee T.K. and A. Naka (1995). Dynamic Relations between Macroeconomic Variables and the Japanese Stock Market. An application of Vector Error Correction Model. Journal of Finance Research, 18, 223-237.
• Nishat M & Saghir M (1991). The Stock Market and Pakistan Economy, Savings and Development, 15(2): 131-145.
• Olweny, T. O., & Kimani, D. (2011). Stock Market Performance and Economic Growth Empirical Evidence from Kenya using Causality Test Approach. Advances in Management and Applied Economics, 1(3), 177.
• Stopford, M. (2009). Maritime Economics 3.ed. Routledge, London
• Toda, H.Y., Yamamoto, T., 1995. Statistical Inference in Vector Autoregressions with Possibly Integrated Processes. Journal of Econometrics, 66, 225–250.
• Tugcu, C. T., Ozturk, I., & Aslan, A. (2012). Renewable and Non-Renewable Energy Consumption and Economic Growth Relationship Revisited: Evidence from G7 Countries. Energy economics, 34(6), 1942-1950.
• Umar, M., & Dahalan, J. (2016). An Application of Asymmetric Toda-Yamamoto Causality on Exchange Rate-Inflation Differentials in Emerging Economies. International Journal of Economics and Financial Issues, 6(2), 420-426.
• Ünal, G., & Derindere Köseoğlu, S. (2014). Revealing The Freight Market Risk in Istfix Shipping Area. International Journal of Shipping and Transport Logistics, 6(6), 593-610.