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Contagion risk between the shipping freight and stock markets: Evidence from the recent US-China trade war

Gong, Y, Li, KX, Chen, SL ORCID: 0000-0002-1513-4365 and Shi, W ORCID: 0000-0001-6551-0499 2020 , 'Contagion risk between the shipping freight and stock markets: Evidence from the recent US-China trade war' , Transportation Review. Part E: Logistics and Transportation Review , pp. 1-19 , doi: 10.1016/j.tre.2020.101900.

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Abstract

This paper employs the tri-variate Markov regime-switching (MRS) copula model to investigatethe dynamic dependence between the shipping freight and stock markets. Stronger contemporaneous and bidirectional lead-lag relationships between the two markets are detected inthe contagion regime, which, however, are weaker in the normal regime. Compared with theChinese stock market, the US stock market can affect and be affected by the shipping freightmarket 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 haveimportant implications for market prediction and risk management.

Item Type: Article
Authors/Creators:Gong, Y and Li, KX and Chen, SL and Shi, W
Keywords: contagion risk, tri-variate copula, Markov regime-switching, US-China trade, shipping freight and stock markets
Journal or Publication Title: Transportation Review. Part E: Logistics and Transportation Review
Publisher: Pergamon-Elsevier Science Ltd
ISSN: 1366-5545
DOI / ID Number: 10.1016/j.tre.2020.101900
Copyright Information:

Copyright 2020 Elsevier Ltd.

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