{"title":"Dynamic interdependence and volatility spillovers across bunker fuel markets and shipping freight markets","authors":"Xiaoxuan Li, T. Yip","doi":"10.1080/03088839.2021.2005265","DOIUrl":null,"url":null,"abstract":"ABSTRACT This study firstly explores dynamic volatility spillovers across bunker fuel markets in shipping industry. Volatilities in bunker markets are measured by using the dynamic conditional correlation GARCH model. And then bunker volatility spillovers across markets are studied. Our analysis provides an evidence of unidirectional volatility spillovers within Asian (European/American) region and across regions, and also documents that Singapore bunker market is a leading market in transmitting volatility within Asian region and across regions. Furthermore, we measure time-varying volatility spillover effects among Singapore bunker market and shipping freight markets, and between Singapore bunker spot and futures market. The results reveal information transmission and could assist market participants and stakeholders to adjust hedging strategies and minimize risks according to the interrelationships across markets.","PeriodicalId":18288,"journal":{"name":"Maritime Policy & Management","volume":null,"pages":null},"PeriodicalIF":3.7000,"publicationDate":"2021-12-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Maritime Policy & Management","FirstCategoryId":"5","ListUrlMain":"https://doi.org/10.1080/03088839.2021.2005265","RegionNum":3,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"TRANSPORTATION","Score":null,"Total":0}
引用次数: 1
Abstract
ABSTRACT This study firstly explores dynamic volatility spillovers across bunker fuel markets in shipping industry. Volatilities in bunker markets are measured by using the dynamic conditional correlation GARCH model. And then bunker volatility spillovers across markets are studied. Our analysis provides an evidence of unidirectional volatility spillovers within Asian (European/American) region and across regions, and also documents that Singapore bunker market is a leading market in transmitting volatility within Asian region and across regions. Furthermore, we measure time-varying volatility spillover effects among Singapore bunker market and shipping freight markets, and between Singapore bunker spot and futures market. The results reveal information transmission and could assist market participants and stakeholders to adjust hedging strategies and minimize risks according to the interrelationships across markets.
期刊介绍：
Thirty years ago maritime management decisions were taken on the basis of experience and hunch. Today, the experience is augmented by expert analysis and informed by research findings. Maritime Policy & Management provides the latest findings and analyses, and the opportunity for exchanging views through its Comment Section. A multi-disciplinary and international refereed journal, it brings together papers on the different topics that concern the maritime industry. Emphasis is placed on business, organizational, economic, sociolegal and management topics at port, community, shipping company and shipboard levels. The Journal also provides details of conferences and book reviews.
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