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Dynamic spillover effects among derivative markets in tanker shipping

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  • Sun, Xiaolin
  • Haralambides, Hercules
  • Liu, Hailong

Abstract

This paper examines the dynamic spillover effects among derivative markets in tanker shipping. Results indicate that dynamic cross-market interactions have significant impact on the direction and magnitude of risk exposures. While crude oil futures are the main information transmitter to the other two derivative markets, bunker futures also serve in a buffering role, as simultaneous transmitter and receiver. The response of the dirty and clean tanker forward freight agreements (FFAs) to oil shocks varies according to market conditions. Our results provide market participants with useful early warning signs of sharp market shocks and crises.

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  • Sun, Xiaolin & Haralambides, Hercules & Liu, Hailong, 2019. "Dynamic spillover effects among derivative markets in tanker shipping," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 122(C), pages 384-409.
    • Handle: RePEc:eee:transe:v:122:y:2019:i:c:p:384-409
    DOI: 10.1016/j.tre.2018.12.018
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    3. Shi, Wenming & Gong, Yuting & Yin, Jingbo & Nguyen, Son & Liu, Qian, 2022. "Determinants of dynamic dependence between the crude oil and tanker freight markets: A mixed-frequency data sampling copula model," Energy, Elsevier, vol. 254(PB).
    4. Konstantinos D. Melas & Photis M. Panayides & Dimitris A. Tsouknidis, 2022. "Dynamic volatility spillovers and investor sentiment components across freight-shipping markets," Maritime Economics & Logistics, Palgrave Macmillan;International Association of Maritime Economists (IAME), vol. 24(2), pages 368-394, June.
    5. Yang, Jialin & Ge, Ying-En & Li, Kevin X., 2022. "Measuring volatility spillover effects in dry bulk shipping market," Transport Policy, Elsevier, vol. 125(C), pages 37-47.
    6. Adewuyi, Adeolu O. & Adeleke, Musefiu A. & Tiwari, Aviral Kumar & Aikins Abakah, Emmanuel Joel, 2023. "Dynamic linkages between shipping and commodity markets: Evidence from a novel asymmetric time-frequency method," Resources Policy, Elsevier, vol. 83(C).
    7. Maitra, Debasish & Chandra, Saurabh & Dash, Saumya Ranjan, 2020. "Liner shipping industry and oil price volatility: Dynamic connectedness and portfolio diversification," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 138(C).

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