Open AccessVolatility spillover and co-movement among Chinese shipping sector stock index, oil futures price, ocean freight charge and exchange rate
Author(s) -
Zitong Zhao,
Roengchai Tansuchat
Publication year - 2019
Publication title -
journal of physics. conference series
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.21
H-Index - 85
eISSN - 1742-6596
pISSN - 1742-6588
DOI - 10.1088/1742-6596/1324/1/012108
Subject(s) - econometrics , futures contract , copula (linguistics) , economics , spillover effect , financial economics , volatility (finance) , stock market index , stock (firearms) , tail dependence , stock market , multivariate statistics , mathematics , statistics , microeconomics , mechanical engineering , paleontology , horse , engineering , biology
This study aims to analyze the co-movement and volatility spillover among four stock markets consist of Chinese shipping sector stock index, oil futures, shipping freight and currency market. We estimate dependence among these four markets using the multivariate copula model. Then we use the VAR model and impulse response function to investigate the volatility spillover among them. The empirical results show that the Gaussian copula is the most appropriate dependence mode as the AIC and BIC of this copula are the lowest when compared to other candidate copula models. The dependence correlation coefficients show a weak volatility dependence among these four markets. In addition, the results of the VAR suggest a spillover effect from shipping stock and oil to freight market.