Contagion risk between the shipping freight and stock markets: Evidence from the recent US-China trade war

Yuting Gong, Kevin X. Li, Shu-Ling Chen and Wenming Shi

Transportation Research Part E: Logistics and Transportation Review, 2020, vol. 136, issue C

Abstract: 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.

Keywords: Contagion risk; Tri-variate copula; Markov regime-switching; US-China trade; Shipping freight and stock markets (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (14)

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DOI: 10.1016/j.tre.2020.101900

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