Spillover effects and dynamic correlations between spot and forward tanker freight markets
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Li, Kevin X. | - |
dc.contributor.author | Qi, Guan Qiu | - |
dc.contributor.author | Shi, Wenming | - |
dc.contributor.author | Yang, Zhongzhi | - |
dc.contributor.author | Bang, Hee-Seok | - |
dc.contributor.author | Woo, Su-Han | - |
dc.contributor.author | Yip, Tsz Leung | - |
dc.date.available | 2019-03-08T20:56:35Z | - |
dc.date.issued | 2014-11 | - |
dc.identifier.issn | 0308-8839 | - |
dc.identifier.issn | 1464-5254 | - |
dc.identifier.uri | https://scholarworks.bwise.kr/cau/handle/2019.sw.cau/11601 | - |
dc.description.abstract | Monitoring and analysing information transmission across different shipping markets is an important tool for participants to predict shipping freight rates, design portfolio investments and manage freight rate risks. The purpose of this article is to investigate spillover effects and dynamic correlations between shipping spot and derivatives markets (tanker forward freight agreement, FFA) under the multivariate generalized autoregressive conditional heteroscedasticity framework. Empirical results show that spillovers in returns are unilateral from one-month FFA to spot markets, while they are bilateral between one-month and two-month FFA markets. However, insignificant mean spillovers between spot and two-month FFA markets are found. Volatility spillover effects among one-month FFA, two-month FFA and spot freight markets are bilateral. By analysing the correlation between different markets, highly persistent and significantly volatile correlations are found. Moreover, time-varying correlations between one-month and two-month FFA markets are much higher than those of between spot and each FFA market. Results from this article will be helpful to improve participants' predictions of return, volatility and correlation, which are significant for determining hedge strategies. In addition, the management of freight rate risk and portfolio investment can also benefit from the empirical results obtained in this article. | - |
dc.format.extent | 14 | - |
dc.language | 영어 | - |
dc.language.iso | ENG | - |
dc.publisher | ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD | - |
dc.title | Spillover effects and dynamic correlations between spot and forward tanker freight markets | - |
dc.type | Article | - |
dc.identifier.doi | 10.1080/03088839.2014.958585 | - |
dc.identifier.bibliographicCitation | MARITIME POLICY & MANAGEMENT, v.41, no.7, pp 683 - 696 | - |
dc.description.isOpenAccess | N | - |
dc.identifier.wosid | 000345382200006 | - |
dc.identifier.scopusid | 2-s2.0-84912144505 | - |
dc.citation.endPage | 696 | - |
dc.citation.number | 7 | - |
dc.citation.startPage | 683 | - |
dc.citation.title | MARITIME POLICY & MANAGEMENT | - |
dc.citation.volume | 41 | - |
dc.type.docType | Article | - |
dc.publisher.location | 영국 | - |
dc.subject.keywordPlus | FUTURES MARKET | - |
dc.subject.keywordPlus | VOLATILITY | - |
dc.subject.keywordPlus | MODELS | - |
dc.relation.journalResearchArea | Transportation | - |
dc.relation.journalWebOfScienceCategory | Transportation | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.
84, Heukseok-ro, Dongjak-gu, Seoul, Republic of Korea (06974)02-820-6194
COPYRIGHT 2019 Chung-Ang University All Rights Reserved.
Certain data included herein are derived from the © Web of Science of Clarivate Analytics. All rights reserved.
You may not copy or re-distribute this material in whole or in part without the prior written consent of Clarivate Analytics.