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Construction of Korean Shipping Industry Risk Sentiment Index using news articles

Authors
Park, SunghwaKim, HyunsokKwon, JanghanKim, Taeil
Issue Date
Jan-2024
Publisher
Inderscience Publishers
Keywords
ARDL; local projections; news big data analysis; shipping market sentiment; SRSI
Citation
International Journal of Shipping and Transport Logistics, v.17, no.4, pp 469 - 486
Pages
18
Indexed
SSCI
SCOPUS
Journal Title
International Journal of Shipping and Transport Logistics
Volume
17
Number
4
Start Page
469
End Page
486
URI
https://scholarworks.gnu.ac.kr/handle/sw.gnu/69461
DOI
10.1504/IJSTL.2023.136047
ISSN
1756-6517
1756-6525
Abstract
We develop the Shipping Industry Risk Sentiment Index (SRSI) to measure risk sentiment in Korea’s shipping industry. The index is based on the frequency of news articles in Korean newspapers that contain terms related to the six C’s of credit suggested by Grammenos (2013). The dynamics of the index show that it spikes near tight periods of elevated risk sentiment including global financial crisis and the court receivership of Korea’s major shipping companies. We investigate predictive power of the index by using an autoregressive distributed lag (ARDL) model and impulse response functions from local projections. Empirical evidence shows that SRSI reflects risk sentiment in shipping industry and contains useful information to understand market situations. Copyright © The Author(s) 2023.
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자연과학대학 > 수학과 > Journal Articles

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