Highlights The dynamic tri-variate Markov regime-switching (MRS) copula model is applied to examine contagion risk. A vector autoregressive (VAR) model is used to investigate the impact of the volume of the US-China trade. A stronger dependence in the contagion regime is confirmed by the contemporaneous and lead-lag relationships.

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


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    Title :

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


    Contributors:
    Gong, Yuting (author) / Li, Kevin X. (author) / Chen, Shu-Ling (author) / Shi, Wenming (author)


    Publication date :

    2020-02-26




    Type of media :

    Article (Journal)


    Type of material :

    Electronic Resource


    Language :

    English






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