Impact of external uncertainties on internal volatility spillovers among shipping freight markets

Dong Chen and Dong Yang

Maritime Policy & Management, 2026, vol. 53, issue 3, 327-350

Abstract: Given the unstable trading environment in past years, there is an urgent need to disentangle the relationship between internal spillovers across shipping freight markets and external uncertainties. This study addresses the issue using VAR-based approaches: First, Diebold-Yilmaz (DY) spillover indices are constructed for container, dry bulk, dirty, and clean tanker spot markets. Second, the Granger causal effects and shock effects from Economic Policy Uncertainty (EPU) and Geopolitical Risk (GPR) to the above spillover indices are examined. Special attention is given to the post-COVID-19 period in this study. Our results prove the epidemic has shifted the roles of net spillover transmitters and receivers within the four freight markets, while also intensifying the causality and shock impacts of EPU and GPR on internal spillovers. Additionally, the results reveal that EPU and GPR influence spillovers through distinct mechanisms, with tanker markets serving as key mediators that amplify uncertainty shocks. All of these findings convey significant policy implications to shipping stakeholders.

Date: 2026
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DOI: 10.1080/03088839.2025.2511720

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