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The Stock Market Perception of Industry Risk and Macroeconomic Factors: The Case of the US Water and Other Transportation Stocks

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  • Manolis G Kavussanos

    (*City University Business School, London)

  • Stelios N Marcoulis

    (**Cyprus Popular Bank, Nicosia, Cyprus)

Abstract

This paper attempts to uncover and compare the macroeconomic determinants of the stock returns of US listed water transportation companies to those of other transport sectors over the period July 1985 – June 1995; these involve air transportation, rail transportation and trucks. Other non-transport sectors such as electricity, gas, petroleum refining and real estate are also examined. This is done by relating cross-sectional differences in the returns of the companies in each industry to the stock market and to the following set of macroeconomic factors: (1) industrial production; (2) the term structure of interest rates; (3) oil prices; (4) consumption; and (5) inflation. Multivariate Least Square (MLSQ) regression methods are employed to estimate the above relationships. Important findings of this paper are: First, the effect of macroeconomic factors on stock returns varies among transportation industries and the other industries examined. Second, the stock market return influences the returns of all industries. Third, the market beta of the water transportation industry does not appear to be significantly higher, or lower, than the market beta of the remaining transportation, and non-transportation, sectors analysed.International Journal of Maritime Economics (2000) 2, 235–256; doi:10.1057/ijme.2000.19

Suggested Citation

  • Manolis G Kavussanos & Stelios N Marcoulis, 2000. "The Stock Market Perception of Industry Risk and Macroeconomic Factors: The Case of the US Water and Other Transportation Stocks," Maritime Economics & Logistics, Palgrave Macmillan;International Association of Maritime Economists (IAME), vol. 2(3), pages 235-256, September.
    • Handle: RePEc:pal:marecl:v:2:y:2000:i:3:p:235-256
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    Citations

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    Cited by:

    1. Alexandridis, George & Kavussanos, Manolis G. & Kim, Chi Y. & Tsouknidis, Dimitris A. & Visvikis, Ilias D., 2018. "A survey of shipping finance research: Setting the future research agenda," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 115(C), pages 164-212.
    2. Boyer, M. Martin & Filion, Didier, 2007. "Common and fundamental factors in stock returns of Canadian oil and gas companies," Energy Economics, Elsevier, vol. 29(3), pages 428-453, May.
    3. Hofmann, Erik & Solakivi, Tomi & Töyli, Juuso & Zinn, Martin, 2018. "Oil price shocks and the financial performance patterns of logistics service providers," Energy Economics, Elsevier, vol. 72(C), pages 290-306.
    4. Nunn, Mike J., 2012. "Australia’s biosecurity: future challenges for animal industries," AFBM Journal, Australasian Farm Business Management Network, vol. 8(2), pages 1-7, April.
    5. Maitra, Debasish & Rehman, Mobeen Ur & Dash, Saumya Ranjan & Kang, Sang Hoon, 2021. "Oil price volatility and the logistics industry: Dynamic connectedness with portfolio implications," Energy Economics, Elsevier, vol. 102(C).
    6. Pouliasis, Panos K. & Papapostolou, Nikos C. & Kyriakou, Ioannis & Visvikis, Ilias D., 2018. "Shipping equity risk behavior and portfolio management," Transportation Research Part A: Policy and Practice, Elsevier, vol. 116(C), pages 178-200.
    7. Tsouknidis, Dimitris A., 2016. "Dynamic volatility spillovers across shipping freight markets," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 91(C), pages 90-111.
    8. Panayides, Photis M. & Lambertides, Neophytos & Cullinane, Kevin, 2013. "Liquidity risk premium and asset pricing in US water transportation," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 52(C), pages 3-15.
    9. Sunil K. Mohanty & Roar Aadland & Sjur Westgaard & Stein Frydenberg & Hilde Lillienskiold & Cecilie Kristensen, 2021. "Modelling Stock Returns and Risk Management in the Shipping Industry," JRFM, MDPI, vol. 14(4), pages 1-25, April.
    10. Giamouzi, Maria & Nomikos, Nikos K, 2021. "Identifying shipowners’ risk attitudes over gains and losses: Evidence from the dry bulk freight market," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 145(C).
    11. Drobetz, Wolfgang & Menzel, Christina & Schröder, Henning, 2016. "Systematic risk behavior in cyclical industries: The case of shipping," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 88(C), pages 129-145.
    12. Abdou, Hussein A. & Pointon, John & El-Masry, Ahmed & Olugbode, Moji & Lister, Roger J., 2012. "A variable impact neural network analysis of dividend policies and share prices of transportation and related companies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(4), pages 796-813.
    13. Marin, Floriana & Notaro, Sandra, 2007. "Consumer attitudes toward GM food with hypothetical functional characteristics," 105th Seminar, March 8-10, 2007, Bologna, Italy 7878, European Association of Agricultural Economists.
    14. Kavussanos, Manolis G. & Marcoulis, Stelios N., 2004. "4. Cross-Industry Comparisons Of The Behaviour Of Stock Returns In Shipping, Transportation And Other Industries," Research in Transportation Economics, Elsevier, vol. 12(1), pages 107-142, January.

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