Asymmetric dynamics between the Baltic Dry Index and financial markets during major global economic events

Emmanuel Abakah, Mohammad Abdullah, Boakye Dankwah and Chi-Chuan Lee

The North American Journal of Economics and Finance, 2024, vol. 72, issue C

Abstract: This research investigates the asymmetric dependence of the Baltic Dry Index on conventional financial markets during major global economic events in the period 1995–2023 using the rolling window wavelet correlation (RWWC) and time-varying parameter vector autoregression (TVP-VAR). The results of the RWWC reveal a considerable relationship between these markets over short- to medium-term investment horizons, whereas the relationship dynamically switches between positive and negative in the long term. The TVP-VAR reveals that asymmetry occurs for upward and downward movement spillover results. The total connectedness index is higher for downward market condition spillover than for the upward market spillover.

Keywords: Baltic Dry Index; Commodities; Currency; Bond; Stocks; Asymmetric spillovers (search for similar items in EconPapers)
JEL-codes: C32 C58 F62 G11 G15 P45 (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000512

DOI: 10.1016/j.najef.2024.102126

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