Macroeconomic Factors and International Shipping Stock Returns

The aim of this paper is to present evidence, for the first time, about the relationships of global macroeconomic sources of risk with shipping stock returns internationally, for the period 1989:12–1998:3. For this purpose, a sample of 36 shipping companies (listed in 10 stock exchanges worldwide) is used in the study. The return on the world equity market portfolio and innovations in the following prespecified set of global macro variables are employed in the analysis: (a) industrial production; (b) inflation; (c) oil prices; (d) fluctuations in exchange rates against the US dollar; and (e) laid up tonnage. Several significant relationships are established between returns of international shipping stocks and global risk factors. Oil prices and laid up tonnage are found to be negatively related to shipping stocks, whereas the exchange rate variable displays a positive relationship. In addition, it is found that, in general, the macroeconomic factors exhibit a consistent pattern in the way in which they are linked to the shipping industry, across countries.