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Assessing the extreme risk spillovers of international commodities on maritime markets: A GARCH-Copula-CoVaR approach

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  • Sun, Xiaolei
  • Liu, Chang
  • Wang, Jun
  • Li, Jianping

Abstract

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.

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  • Sun, Xiaolei & Liu, Chang & Wang, Jun & Li, Jianping, 2020. "Assessing the extreme risk spillovers of international commodities on maritime markets: A GARCH-Copula-CoVaR approach," International Review of Financial Analysis, Elsevier, vol. 68(C).
  • Handle: RePEc:eee:finana:v:68:y:2020:i:c:s1057521919303904
    DOI: 10.1016/j.irfa.2020.101453
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