BibTex RIS Kaynak Göster

Taşıma Ücretlerindeki Değişimden Korkulmalı mı? Uluslararası Deniz Taşımacılığı Maliyetleri ve Borsa Getirileri Arasında Bir Nedensellik Analizi

Yıl 2015, Cilt: 10 Sayı: 3, 77 - 90, 01.12.2015

Öz

Bu çalışmada, borsa endeksleri ile uluslararası taşıma alınmaktadır. Bu nedenle çalışmada, Dow Jones Birleşik Ortalama endeksi DJA ve Borsa İstanbul Sınai endeksinin BIST-Ind. Baltık Kuru Yük endeksi BDI ile 2007 küresel finansal kriz döneminde Yamamoto olmadığını ortaya koymaya çalışılmaktadır. Çalışmanın verileri endekslerin haftalık getirileri üzerinden hesaplanmıştır. Çalışmanın sonucunda BIST’ten BDI’ya ve BIST Sınai endeksinden BDI’ya doğru tek yönlü bir nedensellik bulunurken DJA ve BDI arasında karşılıklı bir nedensellik ilişkisi bulunmaktadır. Çalışmanın bulguları dahilinde küresel finansal kriz döneminde uluslararası deniz taşımacılığı maliyetleri dikkate alındığında BISTSınai endeksinin DJA’dan ayrıştığı görülmüştür. Böylelikle, uluslararası taşımacılık maliyetlerinin bu nedenle daha küresel sınai endeksler üzerinde etkili olduğu sonucuna varılmıştır

Kaynakça

  • Afzal, M., M. E. Malik, I. Begum, K. Sarvar and H. Fatima (2012), “Relationship among Education, Poverty and Economic Growth in Pakistan: An Econometric Analysis”, Journal of Elementary Education, 22(1), 23-45.
  • Alizadeh, A. and Y. Muradoglu (2011), “Stock Market Returns and Shipping Freight Market Information: Yet Another Puzzle!”, Available at SSRN 1905590.
  • Bakshi, G., G. Panayotov and G. Skoulakis (2011), “The Baltic Dry Index as a Predictor of Global Stock Returns, Commodity Returns, and Global Economic Activity”, AFA 2012 Chicago Meetings Paper.
  • Baumeister, C., P. Guérin and L. Kilian (2013), “Do High-Frequency Financial Data Help Forecast Oil Prices? The MIDAS Touch at Work”, CFS Working Paper. 22.
  • Chang, C. and C. Lin (2009), “Causality Analysis between Baltic Dry Index and Stock Markets in BRICs”, National Cheng Kung University Department of Transportation & Communication Management Science Paper Series, No:1201.
  • Claessens, S., G. Dell’Ariccia, D. Igan and L. Laeven (2010), “Cross‐country experiences and policy implications from the global financial crisis”, Economic Policy, 25(62), 267-293.
  • Dickey, D. A. and W. A. Fuller (1981), “Likelihood ratio statistics for autoregressive time series with a unit root”, Econometrica: Journal of the Econometric Society, 1057-1072.
  • Erdoğan, O., K. Tata, B. C. Karahasan and M. H. Şengöz (2013), “Dynamics of the comovement between stock and maritime markets”, International Review of Economics and Finance, 25, 282-290.
  • Filardo, A., G. Jason, M. Loretan, G. Ma, A. Munro, I. Shim, P. Wooldridg, J. Yetman and H. Zhu (2010), “The International Financial Crisis: Timeline, Impact and Policy Responses in Asia and the Pacific”, BIS Papers. 52, 21-82.
  • Ghazali, M. F., H. Amin, M. Z. Muhammad and S. H. Samsu (2009), “Linkage between Money and Prices: A Causality Analysis for Malaysia”, International Business Research, 1(4), 82-87.
  • Glynn, J., N. Perera and R. Verma (2007), “Unit root tests and structural breaks: a survey with applications”, Faculty of Commerce-Papers, 455.
  • Granger, C. W. and N. R. Swanson (1997), “An Introduction to Stochastic Unit-Root Processes”, Journal of Econometrics, 80(1), 35-62.
  • Gusanu, A., A. Merika and A. Triantafyllou (2012), “Is There a Lead-Lag Relationship Between Freight Rates and Stock Returns in the Dry-Bulk Shipping Industry?”, Nineteenth Annual Conference Multinational Finance Society, 24-27 June, Krakow.
  • Helleiner, E. (2011), “Understanding the 2007–2008 Global Financial Crisis: Lessons for Scholars of International Political Economy”, Annual Review of Political Science. 14, 67-87.
  • Kapetanios, G. (2005), “Unit Root Testing Against the Alternative Hypothesis of up to m Structural Breaks”, Journal of Time Series Analysis. 26 (1), 123-133.
  • Kutlu, H. ve S. Demirci (2011), “Küresel Finansal Krizi (2007-?) Ortaya Çıkaran Nedenler, Krizin Etkileri, Krizden Kısmi Çıkış ve Mevcut Durum”, Journal of Accounting and Finance, 52, 121-136.
  • Lin, F. and N. Sim (2012), “Trade, Income and The Baltic Dry Index”, European Economic Review, 59, 1-18.
  • Lumsdaine, R. L. and D. H. Papell (1997), “Multiple Trend Breaks and the Unit Root Hypothesis”, Review of Economics and Statistics. 79, 212-17.
  • Mahadava, L. and P. Robinson (2004), “Unit Root Testing to Help Model Building”, London, Center for Central Banking Studies.
  • Mavrotas, G. and R. Kelly (2001), “Old Wine in New Bottles: Testing Causality Between Savings and Growth”, The Manchester School, 69(1), 97-105.
  • Mishkin, F. (2005), “Is Financial Globalization Beneficial?”, NBER Working Paper Series, 11891. OECD (2013) http://stats.oecd.org/index.aspx?queryid=167#, (16.11.2013).
  • Oomen, J.G.M. (2012), “The Baltic Dry Index: A predictor of stock market returns?”, Unpublished Master Thesis, Tilburg, Tilburg University Department of Finance.
  • Papailias, F. and D. Thomakos (2013), “The Baltic Dry Index: Cyclicalities, Forecasting and Hedging Strategies”, The Rimini Center For Economic Analysis Working Papers, 65-13.
  • Segupta, R. and Y. M. Tam (2009), “Recent Movements in the Baltic Dry Index”, Economic Synopses, 12, 1-2.
  • Sinha, D. and T. Sinha (2007), “Toda and Yamamoto Causality Tests Between Per Capita Saving and Per Capita GDP for India”, MPRA, 2564.
  • Thorsen, I.S. (2010), “Dry Bulk Shipping and Business Cycles”, Unpublished Master Thesis, Bergen, Financial Economics Department of Norwegian School of Economics.
  • Toda, H.Y. and T. Yamamoto (1995), “Statistical Inference in Vector Autoregressions with Possibly Integrated Processes”, Journal of Econometrics, 66(1), 225-250.
  • United Nations Conference on Trade and Development (UNCTAD) (2012), “Review of Maritime Transport”, New York and Geneva: UN.
  • United Nations Conference on Trade and Development (UNCTAD) (2013), “Review of Maritime Transport”, New York and Geneva: UN.
  • Yilmaz, Ö.G. (2005), “Türkiye Ekonomisinde Büyüme ile İşsizlik Arasındaki Nedensellik İlişkisi”, Ekonometri ve İstatistik Dergisi, 2, 63-76.
  • Zapata, H.O. and A.N. Rambaldi (1997), “Monte Carlo Evidence on Cointegration and causation”, Oxford Bulletin of Economics and Statistics, 59(2), 285-298.
  • Zivot, A. and D. W. K. Andrews (1992), “Further Evidence on the Great Crash the Oil Price Shock and the Unit Root Hypothesis”, Journal of Business and Economic Statistics. 10, 251-70.

Should Be Frightened of Change in Freight Rates? A Casuality Analysis Between International Maritime Transportation Costs and Industrial Stock Market Returns

Yıl 2015, Cilt: 10 Sayı: 3, 77 - 90, 01.12.2015

Öz

This paper examines on the linkage among stock indexes and transportation costs in global financial crisis. Therefore, we aim to find out whether Dow Jones Composite Average DJA and Istanbul Stock Exchange Industrial BIST-Ind. have causality relation with Baltic Dry Index BDI in 2007-2009 global financial crisis by performing Toda-Yamamoto 1995 causality test with weekly returns of indexes. Tests confirm unidirectional causality from BIST-Ind. to BDI and bidirectional causality between DJA and BDI. Test results show that BIST-Ind. decoupled from DJA in the 2008 global financial crisis when international maritime transportation cost are taken into account. Thus, the impact of international freight rates is influential over more globalized industrial stock markets

Kaynakça

  • Afzal, M., M. E. Malik, I. Begum, K. Sarvar and H. Fatima (2012), “Relationship among Education, Poverty and Economic Growth in Pakistan: An Econometric Analysis”, Journal of Elementary Education, 22(1), 23-45.
  • Alizadeh, A. and Y. Muradoglu (2011), “Stock Market Returns and Shipping Freight Market Information: Yet Another Puzzle!”, Available at SSRN 1905590.
  • Bakshi, G., G. Panayotov and G. Skoulakis (2011), “The Baltic Dry Index as a Predictor of Global Stock Returns, Commodity Returns, and Global Economic Activity”, AFA 2012 Chicago Meetings Paper.
  • Baumeister, C., P. Guérin and L. Kilian (2013), “Do High-Frequency Financial Data Help Forecast Oil Prices? The MIDAS Touch at Work”, CFS Working Paper. 22.
  • Chang, C. and C. Lin (2009), “Causality Analysis between Baltic Dry Index and Stock Markets in BRICs”, National Cheng Kung University Department of Transportation & Communication Management Science Paper Series, No:1201.
  • Claessens, S., G. Dell’Ariccia, D. Igan and L. Laeven (2010), “Cross‐country experiences and policy implications from the global financial crisis”, Economic Policy, 25(62), 267-293.
  • Dickey, D. A. and W. A. Fuller (1981), “Likelihood ratio statistics for autoregressive time series with a unit root”, Econometrica: Journal of the Econometric Society, 1057-1072.
  • Erdoğan, O., K. Tata, B. C. Karahasan and M. H. Şengöz (2013), “Dynamics of the comovement between stock and maritime markets”, International Review of Economics and Finance, 25, 282-290.
  • Filardo, A., G. Jason, M. Loretan, G. Ma, A. Munro, I. Shim, P. Wooldridg, J. Yetman and H. Zhu (2010), “The International Financial Crisis: Timeline, Impact and Policy Responses in Asia and the Pacific”, BIS Papers. 52, 21-82.
  • Ghazali, M. F., H. Amin, M. Z. Muhammad and S. H. Samsu (2009), “Linkage between Money and Prices: A Causality Analysis for Malaysia”, International Business Research, 1(4), 82-87.
  • Glynn, J., N. Perera and R. Verma (2007), “Unit root tests and structural breaks: a survey with applications”, Faculty of Commerce-Papers, 455.
  • Granger, C. W. and N. R. Swanson (1997), “An Introduction to Stochastic Unit-Root Processes”, Journal of Econometrics, 80(1), 35-62.
  • Gusanu, A., A. Merika and A. Triantafyllou (2012), “Is There a Lead-Lag Relationship Between Freight Rates and Stock Returns in the Dry-Bulk Shipping Industry?”, Nineteenth Annual Conference Multinational Finance Society, 24-27 June, Krakow.
  • Helleiner, E. (2011), “Understanding the 2007–2008 Global Financial Crisis: Lessons for Scholars of International Political Economy”, Annual Review of Political Science. 14, 67-87.
  • Kapetanios, G. (2005), “Unit Root Testing Against the Alternative Hypothesis of up to m Structural Breaks”, Journal of Time Series Analysis. 26 (1), 123-133.
  • Kutlu, H. ve S. Demirci (2011), “Küresel Finansal Krizi (2007-?) Ortaya Çıkaran Nedenler, Krizin Etkileri, Krizden Kısmi Çıkış ve Mevcut Durum”, Journal of Accounting and Finance, 52, 121-136.
  • Lin, F. and N. Sim (2012), “Trade, Income and The Baltic Dry Index”, European Economic Review, 59, 1-18.
  • Lumsdaine, R. L. and D. H. Papell (1997), “Multiple Trend Breaks and the Unit Root Hypothesis”, Review of Economics and Statistics. 79, 212-17.
  • Mahadava, L. and P. Robinson (2004), “Unit Root Testing to Help Model Building”, London, Center for Central Banking Studies.
  • Mavrotas, G. and R. Kelly (2001), “Old Wine in New Bottles: Testing Causality Between Savings and Growth”, The Manchester School, 69(1), 97-105.
  • Mishkin, F. (2005), “Is Financial Globalization Beneficial?”, NBER Working Paper Series, 11891. OECD (2013) http://stats.oecd.org/index.aspx?queryid=167#, (16.11.2013).
  • Oomen, J.G.M. (2012), “The Baltic Dry Index: A predictor of stock market returns?”, Unpublished Master Thesis, Tilburg, Tilburg University Department of Finance.
  • Papailias, F. and D. Thomakos (2013), “The Baltic Dry Index: Cyclicalities, Forecasting and Hedging Strategies”, The Rimini Center For Economic Analysis Working Papers, 65-13.
  • Segupta, R. and Y. M. Tam (2009), “Recent Movements in the Baltic Dry Index”, Economic Synopses, 12, 1-2.
  • Sinha, D. and T. Sinha (2007), “Toda and Yamamoto Causality Tests Between Per Capita Saving and Per Capita GDP for India”, MPRA, 2564.
  • Thorsen, I.S. (2010), “Dry Bulk Shipping and Business Cycles”, Unpublished Master Thesis, Bergen, Financial Economics Department of Norwegian School of Economics.
  • Toda, H.Y. and T. Yamamoto (1995), “Statistical Inference in Vector Autoregressions with Possibly Integrated Processes”, Journal of Econometrics, 66(1), 225-250.
  • United Nations Conference on Trade and Development (UNCTAD) (2012), “Review of Maritime Transport”, New York and Geneva: UN.
  • United Nations Conference on Trade and Development (UNCTAD) (2013), “Review of Maritime Transport”, New York and Geneva: UN.
  • Yilmaz, Ö.G. (2005), “Türkiye Ekonomisinde Büyüme ile İşsizlik Arasındaki Nedensellik İlişkisi”, Ekonometri ve İstatistik Dergisi, 2, 63-76.
  • Zapata, H.O. and A.N. Rambaldi (1997), “Monte Carlo Evidence on Cointegration and causation”, Oxford Bulletin of Economics and Statistics, 59(2), 285-298.
  • Zivot, A. and D. W. K. Andrews (1992), “Further Evidence on the Great Crash the Oil Price Shock and the Unit Root Hypothesis”, Journal of Business and Economic Statistics. 10, 251-70.
Toplam 32 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Research Article
Yazarlar

Halil Şimdi Bu kişi benim

Hakan Tunahan Bu kişi benim

Yayımlanma Tarihi 1 Aralık 2015
Yayımlandığı Sayı Yıl 2015 Cilt: 10 Sayı: 3

Kaynak Göster

APA Şimdi, H., & Tunahan, H. (2015). Taşıma Ücretlerindeki Değişimden Korkulmalı mı? Uluslararası Deniz Taşımacılığı Maliyetleri ve Borsa Getirileri Arasında Bir Nedensellik Analizi. Eskişehir Osmangazi Üniversitesi İktisadi Ve İdari Bilimler Dergisi, 10(3), 77-90.