Contagion risk between the shipping freight and stock markets: Evidence from the recent US-China trade war
Kevin X. Li,
Shu-Ling Chen and
Transportation Research Part E: Logistics and Transportation Review, 2020, vol. 136, issue C
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)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:transe:v:136:y:2020:i:c:s1366554519310609
Ordering information: This journal article can be ordered from
http://www.elsevier. ... 600244/bibliographic
Access Statistics for this article
Transportation Research Part E: Logistics and Transportation Review is currently edited by W. Talley
More articles in Transportation Research Part E: Logistics and Transportation Review from Elsevier
Bibliographic data for series maintained by Haili He ().