Dynamic spillover effects among derivative markets in tanker shipping

Xiaolin Sun, Hercules Haralambides and Hailong Liu

Transportation Research Part E: Logistics and Transportation Review, 2019, vol. 122, issue C, 384-409

Abstract: This paper examines the dynamic spillover effects among derivative markets in tanker shipping. Results indicate that dynamic cross-market interactions have significant impact on the direction and magnitude of risk exposures. While crude oil futures are the main information transmitter to the other two derivative markets, bunker futures also serve in a buffering role, as simultaneous transmitter and receiver. The response of the dirty and clean tanker forward freight agreements (FFAs) to oil shocks varies according to market conditions. Our results provide market participants with useful early warning signs of sharp market shocks and crises.

Keywords: Tanker FFAs; Crude oil futures; Bunker futures; Dynamic spillover; Variance decomposition (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:transe:v:122:y:2019:i:c:p:384-409

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DOI: 10.1016/j.tre.2018.12.018

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