This 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.

Item Type:	Refereed Article
Keywords:	contagion risk, tri-variate copula, Markov regime-switching, US-China trade, shipping freight and stock markets
Research Division:	Commerce, Management, Tourism and Services
Research Group:	Transportation, logistics and supply chains
Research Field:	Road transportation and freight services
Objective Division:	Transport
Objective Group:	Water transport
Objective Field:	Coastal sea freight transport
UTAS Author:	Chen, SL (Associate Professor Peggy Chen)
UTAS Author:	Shi, W (Dr Wenming Shi)
ID Code:	137823
Year Published:	2020
Web of Science® Times Cited:	13
Deposited By:	Maritime and Logistics Management
Deposited On:	2020-03-05
Last Modified:	2021-06-07
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