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Contagion risk between the shipping freight and stock markets: Evidence from the recent US-China trade war
journal contributionposted on 2023-05-20, 11:37 authored by Gong, Y, Li, KX, Shu-Ling ChenShu-Ling Chen, Wenming ShiWenming Shi
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.
Publication titleTransportation Review. Part E: Logistics and Transportation Review
Department/SchoolAustralian Maritime College
PublisherPergamon-Elsevier Science Ltd
Place of publicationThe Boulevard, Langford Lane, Kidlington, Oxford, England, Ox5 1Gb
Rights statementCopyright 2020 Elsevier Ltd.