Fear index and freight rates in dry-bulk shipping markets

References

• Akhtar, S., R. Faff, B. Oliver, and A. Subrahmanyam. 2013. “Reprint Of: Stock Salience and the Asymmetric Market Effect of Consumer Sentiment News.” Journal of Banking & Finance 37 (11): 4488–4500. doi:10.1016/j.jbankfin.2013.07.032.
   Web of Science ®Google Scholar
• Baker, M., and J. Wurgler. 2006. “Investor Sentiment and the Cross-section of Stock Return.” Journal of Finance 61 (4): 1645–1680. doi:10.1111/j.1540-6261.2006.00885.x.
   Web of Science ®Google Scholar
• Baker, M., and J. Wurgler. 2007. “Investor Sentiment in the Stock Market.” Journal of Economic Perspectives 21 (2): 129–152. doi:10.1257/jep.21.2.129.
   Web of Science ®Google Scholar
• Baker, M., J. Wurgler, and Y. Yuan. 2012. “Global, Local, and Contagious Investor Sentiment.” Journal of Financial Economics 104 (2): 272–287. doi:10.1016/j.jfineco.2011.11.002.
   Web of Science ®Google Scholar
• Barberis, N., A. Shleifer, and R. Vishny. 1998. “A Model of Investor Sentiment.” Journal of Financial Economics 49 (3): 307–343. doi:10.1016/S0304-405X(98)00027-0.
   Web of Science ®Google Scholar
• Brown, G. W., and M. T. Cliff. 2004. “Investor Sentiment and the Near-Term Stock Market.” Journal of Empirical Finance 11 (1): 1–27. doi:10.1016/j.jempfin.2002.12.001.
   Google Scholar
• Chen, H., T. T. L. Chong, and X. Duan. 2010. “A Principal-component Approach to Measuring Investor Sentiment.” Quantitative Finance 10 (4): 339–347. doi:10.1080/14697680903193389.
   Web of Science ®Google Scholar
• Chen, H., T. T. L. Chong, and Y. She. 2014. “A Principal Component Approach to Measuring Investor Sentiment in China.” Quantitative Finance 14 (4): 573–579. doi:10.1080/14697688.2013.869698.
   Web of Science ®Google Scholar
• Chen, Y. S., and S. T. Wang. 2004. “The Empirical Evidence of the Leverage Effect on Volatility in International Bulk Shipping Market.” Maritime Policy & Management 32 (2): 109–124. doi:10.1080/0308883042000208301.
   Google Scholar
• Cochrane, J. H. 1988. “How Big Is the Random Walk in GNP?” The Journal of Political Economy 96 (5): 893–920. doi:10.1086/261569.
   Web of Science ®Google Scholar
• De Long, J. B., A. Shleifer, L. H. Summers, and R. J. Waldmann. 1990. “Noise Trader Risk in Financial Markets.” The Journal of Political Economy 98 (4): 703–738. doi:10.1086/261703.
   Web of Science ®Google Scholar
• Edmans, A., D. Garcia, and Ø. Norli. 2007. “Sports Sentiment and Stock Returns.” The Journal of Finance 62 (4): 1967–1998. doi:10.1111/j.1540-6261.2007.01262.x.
   Web of Science ®Google Scholar
• Feng, L., and M. S. Seasholes. 2005. “Do Investor Sophistication and Trading Experience Eliminate Behavioral Biases in Financial Markets?” Review of Finance 9 (3): 305–351. doi:10.1007/s10679-005-2262-0.
   Google Scholar
• Freybote, J., and P. A. Seagraves. 2017. “Heterogeneous Investor Sentiment and Institutional Real Estate Investments.” Real Estate Economics 45 (1): 154–176. doi:10.1111/1540-6229.12132.
   Web of Science ®Google Scholar
• He, L. T., and K. M. Casey. 2015. “Forecasting Ability of the Investor Sentiment Endurance Index: The Case of Oil Service Stock Returns and Crude Oil Prices.” Energy Economics 47: 121–128. doi:10.1016/j.eneco.2014.11.005.
   Web of Science ®Google Scholar
• Ho, K. Y., Y. Shi, and Z. Zhang. 2013. “How Does News Sentiment Impact Asset Volatility? Evidence from Long Memory and Regime-switching Approaches.” The North American Journal of Economics and Finance 26: 436–456. doi:10.1016/j.najef.2013.02.015.
   Web of Science ®Google Scholar
• Hotelling, H. 1933. “Analysis of a Complex of Statistical Variables into Principal Components.” Journal of Educational Psychology 24 (6): 417. doi:10.1037/h0071325.
   Google Scholar
• Hsiao, Y. J., H. C. Chou, and C. C. Wu. 2014. “Return Lead-lag and Volatility Transmission in Shipping Freight Markets.” Maritime Policy and Management 41(7): 697–714
   Web of Science ®Google Scholar
• Hsiao, Y. J., H. C. Chou, and C. C. Wu. 2014. “Return Lead-lag and Volatility Transmission in Shipping Freight Markets.” Maritime Policy and Management 41 (7): 697–714. doi:10.1080/03088839.2013.865849.
   Web of Science ®Google Scholar
• Huang, D., F. Jiang, J. Tu, and G. Zhou. 2015. “Investor sentiment aligned: A powerful predictor of stock returns.” Review of Financial Studies 28(3):791–837
   Web of Science ®Google Scholar
• Kavussanos, M. G. 1996. “Comparisons of Volatility in the Dry-cargo Ship Sector: Spot versus Time Charters, and Smaller versus Larger Vessels.” Journal of Transport Economics and Policy 30 (1): 67–82.
   Web of Science ®Google Scholar
• Kavussanos, M. G. 1997. “The Dynamics of Time-varying Volatilities in Different Size Second-hand Ship Prices of the Dry-cargo Sector.” Applied Economics 29 (4): 433–443. doi:10.1080/000368497326930.
   Web of Science ®Google Scholar
• Kavussanos, M. G. 2003. “Time Varying Risks among Segments of the Tanker Freight Markets.” Maritime Economics and Logistics 5 (3): 227–250. doi:10.1057/palgrave.mel.9100079.
   Google Scholar
• Kavussanos, M. G., and I. D. Visvikis. 2006a. “Derivatives and Risk Management in Shipping.”
   Google Scholar
• Kavussanos, M. G., and I. D. Visvikis. 2006b. “Shipping Freight Derivatives: A Survey of Recent Evidence.” Maritime Policy & Management 33 (3): 233–255. doi:10.1080/03088830600783152.
   Google Scholar
• Kuo, C. C., H. C. Chou, and C. C. Chang. 2016. “Exploring Risk-return Relations in Dry-bulk Shipping Freight Rates.” International Journal of Shipping and Transport Logistics 8 (4): 488–506. doi:10.1504/IJSTL.2016.077291.
   Web of Science ®Google Scholar
• Lo, A. W., and A. C. MacKinlay. 1988. “Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test.” Review of Financial Studies 1 (1): 41–66. doi:10.1093/rfs/1.1.41.
   Web of Science ®Google Scholar
• Low, C. 2004. “The Fear and Exuberance from Implied Volatility of S&P 100 Index Options.” Journal of Business 77: 527–546. doi:10.1086/386529.
   Web of Science ®Google Scholar
• Nelson, D. B. 1991. “Conditional Heteroskedasticity in Asset Returns: A New Approach.” Econometrica 59 (2): 347–370. doi:10.2307/2938260.
   Web of Science ®Google Scholar
• Papapostolou, N. C., N. Nomikos, P. Pouliasis, and I. Kyriakou. 2014. “Investor Sentiment for Real Assets: The Case of Dry Bulk Shipping Market.” Review of Finance 18 (4): 1507–1539. doi:10.1093/rof/rft037.
   Web of Science ®Google Scholar
• Papapostolou, N. C., P. K. Pouliasis, N. K. Nomikos, and I. Kyriakou. 2016. “Shipping Investor Sentiment and International Stock Return Predictability. Transportation Research Part E.” Logistics and Transportation Review 96: 81–94. doi:10.1016/j.tre.2016.10.006.
   Web of Science ®Google Scholar
• Pearson, K. 1901. “Principal Components Analysis. The London.” Edinburgh and Dublin Philosophical Magazine and Journal 6 (2): 566.
   Google Scholar
• Stopford, M. 2009. Maritime Economics 3e. New York, NY: Routledge.
   Google Scholar
• Veenstra, A. W., and F. H. Franses. 1997. “A Co-integration Approach to Forecasting Freight Rates in the Dry Bulk Shipping Sector.” Transportation Research Part A: Policy and Practice 36 (6): 447–458.
   Web of Science ®Google Scholar
• Wang, C. 2001. “Investor Sentiment and Return Predictability in Agricultural Futures Markets.” Journal of Futures Markets 21 (10): 929–952. doi:10.1002/fut.2003.
   Web of Science ®Google Scholar
• Whaley, R. E. 1993. “Derivatives on Market Volatility: Hedging Tools Long Overdue.” Journal of Derivatives 1 (1): 71–84. doi:10.3905/jod.1993.407868.
   Google Scholar
• Whaley, R. E. 2000. “The Investor Fear Gauge.” Journal of Portfolio Management 26 (3): 12–17. doi:10.3905/jpm.2000.319728.
   Web of Science ®Google Scholar
• Whaley, R. E. 2000. “The Investor Fear Gauge,” The Journal of Portfolio Management, 26(3): 12–17 doi:10.3905/jpm.2000.319728
   Web of Science ®Google Scholar