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

Year 2019, Volume: 6 Issue: 3, 42 - 50, 25.03.2019

Abdullah Açık , Esra Baran , İlke Sezin Ayaz

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

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