Assessing the extreme risk spillovers of international commodities on maritime markets: A GARCH-Copula-CoVaR approach
Jun Wang and
International Review of Financial Analysis, 2020, vol. 68, issue C
Maritime market relies on demand of international commodity trade from producers to consumers. Focusing on measuring the inherent correlation, this paper employs a GARCH-Copula-CoVaR approach to address the debate on the extreme risk spillovers from commodity market to maritime market. Our results provide new evidence regarding risk transmission from oil and ex-energy sector to the maritime markets, as well as the interactions between different sub-sectors of maritime market. It is also found that commodity markets exert different spillover effects on global and Chinese domestic maritime markets. In additional, the risk spillovers in oil-freight index pairs after global financial crisis is different from the before. Results enrich the knowledge of risk spillovers between commodity and maritime market, which help stakeholders improve portfolio optimization.
Keywords: GARCH-Copula-CoVaR; Conditional quantile; Spillover effect; Maritime market; Oil prices (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:68:y:2020:i:c:s1057521919303904
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