This study investigates the return lead–lag and volatility transmission between dry bulk shipping and container shipping freight markets over the period before, during and after the 2008 financial tsunami. Both cointegration analysis and the Granger causality test are applied to explore the lead–lag relationship between the Baltic dry index (BDI) and the China containerized freight index (CCFI). Besides, in the study we employed GARCH–BEKK model, which allows for transmission in freight volatility. On the whole, the empirical results show that the BDI reflects the economic climate earlier than the CCFI during the financial tsunami, whereas the CCFI leads the BDI after the financial tsunami. The price formation hypothesis could well explain the relationship. Moreover, volatility spillovers are found in most subperiods. The dynamics of the conditional volatilities differ, but causality links in the variance are found to be strong and bidirectional in normal periods, and unidirectional during the financial tsunami. Therefore, the occurrence of the financial tsunami could be regarded as an interference factor.


    Zugriff

    Zugriff prüfen

    Verfügbarkeit in meiner Bibliothek prüfen

    Bestellung bei Subito €


    Exportieren, teilen und zitieren



    Titel :

    Return lead–lag and volatility transmission in shipping freight markets


    Beteiligte:
    Hsiao, Yao-Jen (Autor:in) / Chou, Heng-Chih (Autor:in) / Wu, Chun-Chou (Autor:in)

    Erschienen in:

    Erscheinungsdatum :

    10.11.2014


    Format / Umfang :

    18 pages




    Medientyp :

    Aufsatz (Zeitschrift)


    Format :

    Elektronische Ressource


    Sprache :

    Englisch



    Dynamic volatility spillovers across shipping freight markets

    Tsouknidis, Dimitris A | Online Contents | 2016




    An analysis of freight rate volatility in dry bulk shipping markets

    Jing, Lu / Marlow, Peter B. / Hui, Wang | Taylor & Francis Verlag | 2008