Journal of Navigation and Port Research (한국항해항만학회지)

Korean Institute of Navigation and Port Research (한국항해항만학회)
권호 표지
DOI QR코드

DOI QR Code

Factors Affecting Stock Beta Variations of Korean Listed Shipping Companies

  • Received : 2023.04.05
  • Accepted : 2023.04.11
  • Published : 2023.04.30
Download PDF
⟨ Previous Next ⟩

Abstract

This study investigated determinants of stock betas of shipping companies in Korea. Beta is a measurement of sensitivity of an individual stock to the movement of the whole stock market. It is widely accepted that stock betas are not constant, but time-varying, which implies that they are affected by other factors. In this regard, this study examined betas of six shipping companies listed on the Korea Exchange for the period of 2000-2021 and their relationship with financial leverage, operating leverage, and cyclicality in the shipping market. Empirical analysis showed that betas of Korean shipping companies were positively associated with financial and operating leverages but negatively with cyclicality.

Keywords

Acknowledgement

This work was supported by the 4th Maritime Port Logistics Training Project from the Ministry of Oceans and Fisheries and the Korea Maritime And Ocean University Research Fund.

References

  1. Albertijn, S., Bessler, W. and Drobetz, W.(2011), "Financing Shipping Companies and Shipping Operations: A Risk-Management Perspective", Journal of Applied Corporate Finance, Vol. 23, No. 4, pp. 70-82. https://doi.org/10.1111/j.1745-6622.2011.00353.x
  2. Drobetz, W., Menzel, C. and Schroder, H.(2016), "Systematic Risk Behavior in Cyclical Industries: The Case of Shipping", Transportation Research Part E: Logistics and Transportation Review, Vol. 88, pp. 129-145. https://doi.org/10.1016/j.tre.2016.01.008
  3. Graham, J. R. and Harvey, C. R.(2001), "The Theory and Practice of Corporate Finance: Evidence from the Field", Journal of Financial Economics, Vol. 60, No. 2, pp. 187-243. https://doi.org/10.1016/S0304-405X(01)00044-7
  4. Grammenos, C. T. and Marcoulis, S. N.(1996), " A Cross-section Analysis of Stock Returns: The Case of Shipping Firms", Maritime Policy & Management, Vol. 23, No. 1, pp. 67-80. https://doi.org/10.1080/03088839600000053
  5. Kavussanos, M. G., Juell-Skielse, A. and Forrest, M.(2003), "International Comparison of Market Risks Across Shipping-related Industries", Maritime Policy &Management, Vol. 30, No. 2, pp. 107-122. https://doi.org/10.1080/0308883032000069271
  6. Kavussanos, M. G. and Marcoulis, S. N.(1997a), "Risk and Return of US Water Transportation Stocks Over Time and Over Bull and Bear Market Conditions", Maritime Policy & Management, Vol. 24, No. 2, pp. 145-158. https://doi.org/10.1080/03088839700000066
  7. Kavussanos, M. G. and Marcoulis, S. N.(1997b), "The Stock Market Perception of Industry Risk and Microeconomic Factors: The Case of the US Water Transportation Industry Versus Other Transport Industries", Transportation Research Part E: Logistics and Transportation Review, Vol. 33, No. 2, pp. 147-158. https://doi.org/10.1016/S1366-5545(97)00015-X
  8. Kavussanos, M. G. and Marcoulis, S. N.(1998), "Beta Comparisons across Industries - A Water Transportation Industry Perspective", Maritime Policy & Management, Vol. 25, No. 2, pp. 175-184. https://doi.org/10.1080/03088839800000027
  9. Kavussanos, M. G. and Marcoulis, S. N.(2000), "The Stock Market Perception of Industry Risk and Macroeconomic Factors: The Case of the US Water and Other Transportation Stocks", International Journal of Maritime Economics (Maritime Economics and Logistics), Vol. 2, No. 3, pp. 235-256. https://doi.org/10.1057/ijme.2000.19
  10. Kim, C. Y.(2017), "Time-varying Systematic Risk of the Stocks of Korean Logistics Firms", Journal of Navigation and Port Research, Vol. 41, No. 2, pp. 71-78. https://doi.org/10.5394/KINPR.2017.41.2.71
  11. Lintner, J.(1965), "The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets", Review of Economics and Statistics, Vol. 47, No. 1, pp. 13-37. https://doi.org/10.2307/1924119
  12. Markowitz, H. (1952). "Portfolio Selection", Journal of Finance, Vol. 7, No. 1, pp. 77-91.
  13. Ross, S. A., Westerfield, R. W., Jaffe, J. F. and Jordan, B. D.(2021), Corporate Finance: Core Principles and Applications, 6th Edition, McGraw-Hill Korea, Seoul.
  14. Sharpe, W. F.(1964), "Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk", Journal of Finance, Vol. 19, No. 3, pp. 425-442.
  15. Tezuka, K., Ishii, M. and Ishizaka, M.(2012), "Relationship between CAPM-B and Market Changes in the Japanese Liner Shipping Industry", Maritime Policy & Management, Vol. 39, No. 3, pp. 297-319. https://doi.org/10.1080/03088839.2011.625987
  16. UNCTAD,(2022), Review of Maritime Transport 2022.