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

Gong, Yuting; Li, Kevin X.; Chen, Shu‐Ling; Shi, Wenming

doi:10.1016/j.tre.2020.101900

Cited by 27 publications

(14 citation statements)

References 63 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Third, in accordance with previous researches ( Erdogan et al, 2013 ; Gong et al, 2020 ), we confirm the bi-directional lead-lag relationship between stock markets and freight markets as contemporaneously S&P500 has a negative relationship with the Baltic Dirty Tanker Index while the 1 day lag relationship has a positive sign.…”

Section: Discussionsupporting

confidence: 91%

“…We attribute this to a mean-reverting behavior, one that still emphasizes the importance of the macroeconomic environment for the BDTI. Our results, are in accordance with Erdogan et al (2013) and Gong et al (2020) who show that the relationship between stock markets and freight markets is inter-changeable and also is stronger during the busts of the cycles. Finally, in this case the ARCH term is higher than the GARCH term, and thus past errors have a stronger impact on the variance and that these are not very persistent across time.…”

Section: Estimating the Impact Of The Coronavirussupporting

confidence: 93%

“…In particular, port calls do not appear to have an impact on the variable, as the response is insignificant throughout time. On the other hand, an increase in the S&P500 index causes a negative response from the BDTI, in accordance with the bi-directional lead-lag relationship as described by Gong et al (2020) . Most importantly, BDTI strong reacts to a shock in coronavirus cases, with the response reaching −0.23% in period 3, and accumulating to −1% after 7 days.…”

Section: Estimating the Impact Of The Coronavirussupporting

confidence: 79%

See 2 more Smart Citations

Shipping markets in turmoil: An analysis of the Covid-19 outbreak and its implications

Michail

Melas

2020

Transportation Research Interdisciplinary Perspectives

103

View full text Add to dashboard Cite

In the current study, we examine, for the first time in the literature, the impact of exogenous effects in the shipping industry by employing data from the recent Covid-19 pandemic outbreak and explore the reactions of freight rates for dry bulk, clean, and dirty tankers. Our results, using both GARCH (1,1) and VAR specifications, suggest that such events are directly affecting the dry bulk and the dirty tanker segments. In addition, the results also suggest that second round effects, mostly via the decline in oil prices and, in some cases, third round effects via the impact from the stock market, also exist. Finally, by employing daily port calls a proxy variable for the demand for transportation services, we show that both the dry bulk and clean tankers are highly affected by the demand side of the economy, while vessels which transport crude oil do not register such a relationship.

show abstract

Section: Discussionsupporting

confidence: 91%

Section: Estimating the Impact Of The Coronavirussupporting

confidence: 93%

Section: Estimating the Impact Of The Coronavirussupporting

confidence: 79%

See 1 more Smart Citation

Shipping markets in turmoil: An analysis of the Covid-19 outbreak and its implications

Michail

Melas

2020

Transportation Research Interdisciplinary Perspectives

103

View full text Add to dashboard Cite

show abstract

“…The equity markets are highly related to the international trade policy uncertainty (TPU), He, Lucey et al [11] employed a time-varying VAR model (TVP-SV-VAR) both in the U.S. and Chinese stock markets, to find that the effects are heterogeneous since the trade conflict positively affects the U.S. stock market while it has negative effects on Chinese stock market. The sensitivity of the stock market between the two sides of the trade dispute can be different, it also has a spillover effect on other sectors, which is proved by the study conducted by Gong, Li et al [15] , who applied the dynamic tri-variate Markov regime-switching (MRS) copula model and set an ARMA-GARCH model to examine contagion risk, indicating that the U.S. stock market shows more sensitive reactions to the new tariffs, the fluctuations have spillover effects which can infect the shipping freight market. The spillover effect is also emphasized by the survey from Li, Zhuang, Wang and Zhang [30] .…”

Section: Previous Research On the Impact Of The Trade Dispute On The mentioning

confidence: 96%

“…1. The fluctuation of the stock markets Data source: Yahoo finance, https://finance.yahoo.com/ Previous studies primarily focused on the effects of the trade dispute on the exchange rate [12] , the manufacturing industry [13] , the general equilibrium [14] , the shipping freight [15] , and the health care [16] . To the best of our knowledge, there is little literature related to the trade dispute impacts on the stock market by being classified through the industrial-level.…”

mentioning

confidence: 99%

The Effect of China-U.S. Trade Dispute on Chinese Stock Market: New Evidence from the Event Study Analysis

Chen

2020

REDR

View full text Add to dashboard Cite

In 2018, the China-U.S. trade dispute started, which brings heterogeneous impacts on the global economy. The purpose of this paper is to examine the effects of tariffs targeting Chinese exporting commodities imposed by the U.S. on the Chinese stock market by utilizing the event study analysis. 10 industries' stock returns between Jan. 3rd , 2017, and Apr. 3rd , 2020 were selected as the research objectives from the WIND database, according to the Chinese Shen Wan's classification standard. Results based on event study analysis show that: First, the China-U.S. trade dispute causes significant fluctuations to Chinese stock returns. Second, the impacts of the trade dispute are mainly negative, showing by the negative cumulative average abnormal returns in the export-oriented sectors when they are encountered with new tariffs imposed by the United States. However, the effects can also be positive because of the various situations of targeted industries, and the defensive measures taken by China. Third, the trade dispute also affects investors' views on the macro economy, in which the impact on the real economy can be transferred to other non-export-oriented industries, such as the banking sector. This study provides empirical evidence for China's policymakers to take measures in strengthening the independence of innovation, protecting intellectual property rights. Investors also need to equip themselves with more financial knowledge.

show abstract

Long‐term forecasting of maritime economics index using time‐series decomposition and two‐stage attention

Kim,

Lee,

Kamal

et al. 2024

Journal of Forecasting

View full text Add to dashboard Cite

Forecasting the maritime economics index, including container volume and Baltic Panamax Index, is essential for long‐term planning and decision‐making in the shipping industry. However, studies on container volume prediction are not sufficient, and the bulk freight index has highly fluctuating characteristics, which pose a challenge in long‐term prediction. This study proposes a new hybrid framework for the long‐term prediction of the maritime economics index. The framework consists of time‐series decomposition to break down a time‐series into several components (trend, seasonality, and residual), a two‐stage attention mechanism that prioritizes important variables to increase long‐term prediction accuracy and a long short‐term memory network that predicts and combines all components to derive the final predictive outcome. Extensive experiments are conducted using the container volume data, bulk freight index data, and various external variables. The proposed framework achieved a better predictive performance than existing time‐series methods, including conventional machine learning and deep learning‐based models, in the long‐term prediction of container volume and the Baltic Panamax Index. Hence, the proposed method can help in decision‐making through accurate long‐term predictions of the maritime economics index.

show abstract

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

Cited by 27 publications

References 63 publications

Shipping markets in turmoil: An analysis of the Covid-19 outbreak and its implications

Shipping markets in turmoil: An analysis of the Covid-19 outbreak and its implications

The Effect of China-U.S. Trade Dispute on Chinese Stock Market: New Evidence from the Event Study Analysis

Long‐term forecasting of maritime economics index using time‐series decomposition and two‐stage attention

Contact Info

Product

Resources

About