CO-MOVEMENTS OF PRICE BUBBLES IN STOCK VALUES OF GLOBAL LINER SHIPPING COMPANIES

Yıl 2019, Cilt: 6 Sayı: 3, 42 - 50, 25.03.2019

Abdullah Açık Esra Baran İlke Sezin Ayaz

Öz

In this study, it is aimed to determine the price bubbles in
the stock prices of the major container line shipping companies and to
investigate whether the stock values of the companies are affected by global
developments in the market in the same way by examining the timewise parallel
movements between the determined price bubbles. The dataset in the study
consists of 8 stock prices of the top 10 biggest container line companies in
2018. The included companies are Hyundai Merchant Marine (HMM), Kawasaki Kisen
Kaisha ("K" Line), Nippon Yusen Kaisha (NYK Line), Evergreen
Line, Mitsui Osaka Shosen Kaisha (Mitsui O.S.K. Lines- MOL), Orient
Overseas (OOCL), Yang Ming Marine Transport Corp. and Cosco Shipping Co. The
companies which are not traded in the stock market and the once whose data
includes big breaks are not included in the sample of the study. The dataset
covers the dates between 05^th November 2010 and 6^th July
2018 and consists of weekly observations. Unlike the conventional methods,
using the rolling window technique, the Generalized Sup Augmented Dickey-Fuller
(GSADF) test, which yields successful results in the detection of multiple
price bubbles in the series, was used to determine the price bubbles in the
stock values of the container line shipping companies. According to the results
of the study, the timewise parallel movements were determined between the price
bubbles in some stock values, while there was no parallelism in some of them.
Based on the findings of the study, it can be deduced that the factors
affecting the stock values of the container line shipping companies vary. It is
considered that it will be more useful to understand the bubble mechanism by
including potential factors in econometric models and testing with empirical
studies in further studies.

Anahtar Kelimeler

Price bubbles, Container shipping, Stock values, GSADF Test

Kaynakça

• Allahawiah, S. and Al Amro, S. (2012). Factors affecting stock market prices in Amman Stock Exchange: A survey study. European Journal of Business and Management, 4(8), 236-245.
• Apergis, N. and Sorros, J. (2010). Disaggregated earnings and stock prices: Evidence from international listed shipping firms. International Advances in Economic Research, 16(3), 269-281.
• Aveh, F. K. and Awunyo-Vitor, D. (2017). Firm-specific determinants of stock prices in an emerging capital market: Evidence from Ghana Stock Exchange. Cogent Economics & Finance, 5(1), 1339385.
• Caspi, I. (2013). Rtadf: Testing for bubbles with EViews.
• Caspi, I., Katzke, N. and Gupta, R. (2015). Date stamping historical periods of oil price explosivity: 1876–2014. Energy Economics, 70(C), 582-587.
• Drobetz, W., Schilling, D. and Tegtmeier, L. (2010). Common risk factors in the returns of shipping stocks. Maritime Policy & Management, 37(2), 93-120.
• El-Masry, A. A., Olugbode, M. and Pointon, J. (2010). The exposure of shipping firms’ stock returns to financial risks and oil prices: a global perspective. Maritime Policy & Management, 37(5), 453-473.
• Evans, G.W. (1991). Pitfalls in testing for explosive bubbles in asset prices. The American Economic Review, 81(4), 922–930.
• Gill, A., Biger, N. and Mathur, N. (2012). Determinants of equity share prices: Evidence from American firms. International Research Journal of Finance and Economics, 90(90), 176-192
• Grammenos, C. T. and Arkoulis, A. G. (2002). Macroeconomic factors and international shipping stock returns. International Journal of Maritime Economics, 4(1), 81-99.
• Hondroyiannis G. and Papapetrou E. 2001. Macroeconomic influences on the stock market. Journal of Economics and Finance, 25(1), 33-49.
• Humpe, A. and Macmillan, P. (2009). Can macroeconomic variables explain long-term stock market movements? A comparison of the US and Japan. Applied Financial Economics, 19(2), 111-119.
• Investing. (2018). Stock values of the liner companies. Access Date: 30.10.2018, https://tr.investing.com/
• Kindleberger, C. P. (1987). Bubbles in The New Palgrav, In J. Eatwell, M. Milgate, and P. Newman (eds), The new palgrave: A dictionary of economics, London: MacMillan.
• Mahmood, W. M. and Mohd Dinniah, N. (2007). Stock returns and macroeconomic influences: Evidence from the six Asian-Pacific Countries. Financial Economics and Futures Market Research Paper.
• Muradoglu G., Metin K. and Argae R. (2001). Is there a long-run relationship between stock returns and monetary variables: evidence from an emerging market. Applied Financial Economics, VII(6), 641-649.
• Nasseh, A. and Strauss, J. (2000). Stock prices and domestic and international macroeconomic activity: a cointegration approach. The Quarterly Review of Economics and Finance, 40(2), 229-245.
• Nisa, M. N. and Nishat, M. (2011). The determinants of stock prices in Pakistan. Asian Economic and Financial Review, 1(4), 276-291.
• Panayides, P. M. and Gong, X. (2002). The stock market reaction to merger and acquisition announcements in liner shipping. International Journal of Maritime Economics, 4(1), 55-80.
• Phillips, P.C.B., S. Shi, and J. Yu, (2012). Testing for Multiple Bubbles. Cowles Foundation Discussion Paper, No. 1843, Yale University, New Haven, Connecticut, USA.
• Phillips, P.C.B., Y. Wu, and J. Yu, (2011). Explosive behavior in the 1990s NASDAQ: When did exuberance escalate asset values?. International Economic Review, 52, 201–226.
• Sharif, T., Purohit, H. and Pillai, R. (2015). Analysis of factors affecting share prices: The case of Bahrain Stock Exchange. International Journal of Economics and Finance, 7(3), 207-216.
• Sharma, S. (2011). Determinants of equity share prices in India. Researchers World, 2(4), 51.
• Soh, K. (2016). Understanding test and exam results statistically: An essential guide for teachers and school leaders. Singapore: Springer.
• Su, C. W., Li, Z. Z., Chang, H. L. and Lobonţ, O. R. (2017). When will occur the crude oil bubbles?, Energy Policy, 102, 1-6.
• Sunde, T. and Sanderson, A. (2009). A review of the determinants of share prices. Journal of Social Sciences, 5(3), 188-192
• Visco, I. (2005). Comments on Recent Experiences with Asset Price Bubbles. In Hunter, W.C., Kaufman, G.G. and Pomerleano, M. (eds), Asset price bubbles: The implications for monetary, pp. 165-171. USA: MIT Press.