File(s) under permanent embargo
Contagion risk between the shipping freight and stock markets: Evidence from the recent US-China trade war
journal contribution
posted on 2023-05-20, 11:37 authored by Gong, Y, Li, KX, Shu-Ling ChenShu-Ling Chen, Wenming ShiWenming ShiThis paper employs the tri-variate Markov regime-switching (MRS) copula model to investigate the dynamic dependence between the shipping freight and stock markets. Stronger contemporaneous and bidirectional lead-lag relationships between the two markets are detected in the contagion regime, which, however, are weaker in the normal regime. Compared with the Chinese stock market, the US stock market can affect and be affected by the shipping freight market in a more sensitive manner. Additionally, contagion risk between the two markets increases in most cases due to a decrease in the volume of the US-China trade. The results have important implications for market prediction and risk management.
History
Publication title
Transportation Review. Part E: Logistics and Transportation ReviewVolume
136Article number
101900Number
101900Pagination
1-19ISSN
1366-5545Department/School
Australian Maritime CollegePublisher
Pergamon-Elsevier Science LtdPlace of publication
The Boulevard, Langford Lane, Kidlington, Oxford, England, Ox5 1GbRights statement
Copyright 2020 Elsevier Ltd.Repository Status
- Restricted