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Title: Construction of Korean Shipping Industry Risk Sentiment Index using news articles

Authors: Sunghwa Park; Hyunsok Kim; Janghan Kwon; Taeil Kim

Addresses: Department of International Trade, Gyeongsang National University, 501, 201dong, Jinju-daero, Jinju-si, Gyeongsangnam-do, 52828, South Korea ' College of Economics and International Trade, Pusan National University, 2, Busandaehak-ro 63beon-gil, Geumjeong-gu, Busan, South Korea ' Ocean Economy Strategy Department, Korea Maritime Institute, 26, Haeynag-ro 301beon-gil, Yeongdo-gu, Busan, 49111, South Korea ' Maritime Policy Research Department, Korea Maritime Institute, 26, Haeynag-ro 301beon-gil, Yeongdo-gu, Busan, 49111, South Korea

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.

Keywords: SRSI; news big data analysis; shipping market sentiment; local projections; ARDL.

DOI: 10.1504/IJSTL.2023.136047

International Journal of Shipping and Transport Logistics, 2023 Vol.17 No.4, pp.469 - 486

Received: 25 Aug 2021
Accepted: 06 Jul 2022
Published online: 15 Jan 2024 *