Effects of spillover between financial and maritime markets on asset valuation

This thesis explores the links and relationship directions between maritime and financial markets on a firm level. Asset prices related to maritime firms are prone to price discoveries and dynamic interactions from both markets. Those markets on one hand are subdued in the risk -return relationship setting equilibrium levels depending on firm performance and investor expectations, and on the other hand, we observe a market where demand and supply for services as well as expectations for those are priced on both freight and asset level. The question looking for the pricing factors in one market is also about whether those dynamics are part of the decision set of the investors in the other. Data used in the analysis includes 48 publicly traded maritime firms from 17 different countries and five predefined maritime business types ranging from bulk cargo transportation to port services and logistics and spanning over the period from December 2002 to December 2021. Both univariate and multivariate methods allowing for variations of the returns across stocks and time and the risk dimensions are conducted. Findings indicate a strong spillover not only on the expected return level but also on the conditional variance level. Additional to the external maritime, financial and global factors, spillover of internal factors like forecasted covariances and variances are shown to be effective across maritime subsectors. Finally, since both of these parameters are part of the information set and decision-making process of investors, models allowing for simultaneous estimation of expected returns and conditional covariances prove to be more effective in revealing the feedback between financial and maritime markets.