Contagion risk between the shipping freight and stock markets: Evidence from the recent US-China trade war,Transportation Research Part E: Logistics and Transportation Review

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Contagion risk between the shipping freight and stock markets: Evidence from the recent US-China trade war
Transportation Research Part E: Logistics and Transportation Review ( IF 10.6 ) Pub Date : 2020-03-04 , DOI: 10.1016/j.tre.2020.101900
Yuting Gong , Kevin X. Li , Shu-Ling Chen , Wenming Shi

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.

更新日期：2020-03-05

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