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

Authors : Abdullah AÇIK, Esra BARAN, İlke Sezin AYAZ

Pages : 42-50

View : 22 | Download : 12

Publication Date : 2019-03-25

Article Type : Research Paper

Abstract :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.
Keywords : Price bubbles, Container shipping, Stock values, GSADF Test