Shipping Market Sentiment Shocks and BDI Volatility: Evidence from News-Based Indicators

To address the lag and limited sensitivity of conventional shipping freight indicators, this study develops a news-based sentiment measure for the shipping market and examines its association with BDI dynamics. Using shipping-related news headlines from 2019 to 2025, a RoBERTa classifier fine-tuned on manually annotated data is used to quantify headline sentiment, and a daily Cumulative Sentiment Index (CSI) is constructed using an event-smoothing window with exponential decay. A higher CSI indicates more positive market sentiment, while a lower CSI reflects more negative sentiment. Empirical evidence shows that CSI exhibits pronounced responses around major market events and is closely linked to BDI behavior in event windows. In addition, an EGARCH specification augmented with CSI indicates that sentiment is significantly associated with conditional volatility, suggesting that news-based sentiment contains incremental information relevant to BDI risk dynamics. Overall, the proposed CSI provides a quantitative approach to tracking shipping market sentiment using publicly available news headlines and offers a complementary perspective to transaction-based freight indices.