Does the Baltic Dry Index drive volatility spillovers in the commodities, currency, or stock markets?

被引：64

作者：

Lin, Arthur J. ^{[1
]}

Chang, Hai Yen ^{[2
]}

Hsiao, Jung Lieh ^{[1
]}

机构：

[1] Natl Taipei Univ, Grad Inst Int Business, 151 Daxue Rd, New Taipei 23741, Taiwan

[2] Chinese Culture Univ, Dept Banking & Finance, 55 Hwa Kang Rd, Taipei 11114, Taiwan

来源：

TRANSPORTATION RESEARCH PART E-LOGISTICS AND TRANSPORTATION REVIEW | 2019年 / 127卷

关键词：

Volatility spillover; VAR-BEKK-GARCH-X model; Baltic Dry Index; Dry bulk shipping; ADAPTIVE EXPECTATIONS; DYNAMICS; RETURNS; EQUITY; EXCHANGE; PRICES; CRISIS; POLICY; SHOCKS;

D O I：

10.1016/j.tre.2019.05.013

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This study examines the spillover effect of the Baltic Dry Index (BDI) on the commodities futures, currency, and stock markets by using a tri-variate VAR-BEKK-GARCH-X model on a dataset from October 1, 2007 to October 31, 2018. Results reveal that the BDI spillover effect is time-varying. The spillover effect of the BDI was insignificant during the whole sample period but significant during the 2008/2009 global financial tsunami, and its influence increased during the 2014-2016 economic slowdown in China. The BDI serves as a short-term rather than long-term indicator for the commodities, currency, and equity markets, especially during financial crises.

引用

页码：265 / 283

页数：19

共 54 条

[1]

Alizadeh A. H., 2001, THESIS

[2] Stock market efficiency and international shipping-market information [J].

Alizadeh, Amir H. ;

Muradoglu, Gulnur .

JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY, 2014, 33 :445-461

[3] Trading volume and volatility in the shipping forward freight market [J].

Alizadeh, Amir H. .

TRANSPORTATION RESEARCH PART E-LOGISTICS AND TRANSPORTATION REVIEW, 2013, 49 (01) :250-265

[4] Portfolio optimization and index tracking for the shipping stock and freight markets using evolutionary algorithms [J].

Andriosopoulos, Kostas ;

Doumpos, Michael ;

Papapostolou, Nikos C. ;

Pouliasis, Panos K. .

TRANSPORTATION RESEARCH PART E-LOGISTICS AND TRANSPORTATION REVIEW, 2013, 52 :16-34

[5] Dynamic spillovers between commodity and currency markets [J].

Antonakakis, Nikolaos ;

Kizys, Renatas .

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2015, 41 :303-319

[6] Computation and analysis of multiple structural change models [J].

Bai, J ;

Perron, P .

JOURNAL OF APPLIED ECONOMETRICS, 2003, 18 (01) :1-22

[7]

Baltic Exchange, 2018, HIST BALT IND

[8] Baltic Dry Index as a Major Economic Policy Indicator: The relationship with Economic Growth [J].

Bildirici, Melike E. ;

Kayikci, Fazil ;

Onat, Isil Sahin .

PROCEEDINGS OF THE 4TH INTERNATIONAL CONFERENCE ON LEADERSHIP, TECHNOLOGY, INNOVATION AND BUSINESS MANAGEMENT (ICLTIBM-2014), 2015, 210 :416-424

[9] Dynamic interrelationships in returns and volatilities between Capesize and Panamax markets [J].

Chen, Shun ;

Meersman, Hilde ;

van de Voorde, Eddy .

MARITIME ECONOMICS & LOGISTICS, 2010, 12 (01) :65-90

[10]

Chow G. C., 1991, LECT NOTES EC MATH S, V366

← 1 2 3 4 5 6 →