Chen Huan Shieh


This paper investigates the dynamic responses of stock return of container shipping companies to the global container freight indices during the Coronavirus pandemic period. The new econometric approach Dynamic Common Correlated Effects (DCCE) has been used to measure cointegrating relations among cross-sectional units. This procedure provides significant robust outcomes in the presence of cross-sectional dependence. A statistically significant and positive result has been observed between stock returns and container freight indices. The newly developed tests for a structural break were also implemented for our macro panel data. Our results are robust to structural break under different measures of container freight indices.

Keywords:  COVID-19, Stock return.

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