Tanker shipping is a crucial sector carrying energy products across regions worldwide. This paper examines freight rate return dependencies across six major clean product tanker shipping routes by the copula-GARCH model. Using information from marginal and copula models, extreme risk spillover effects between different routes are further examined by the conditional Value-at-Risk (CoVaR) measure. Results reveal that the product tanker shipping market is regionalized and segmented by geographical locations. The dependency is high for different size ships operating in the same trade routes, while freight rates of ships having same sizes operating in adjacent regions have higher dependencies than operating in distant areas. Extreme co-movements exist in most return pairs with significant tail dependence. We further document significant extreme risk spillovers especially between adjacent or same trading routes and such spillover effects are found to be asymmetric in bearish and bullish markets. Our findings provide implications for shipping risk management.

油轮运输是在全球各地运输能源产品的重要部门。本文通过copula-GARCH模型研究了六大主要清洁产品油轮运输路线上的运费回报率依赖性。使用来自边际模型和copula模型的信息，通过条件风险值（CoVaR）度量进一步检查了不同路径之间的极端风险溢出效应。结果显示，产品油轮运输市场是按地理位置进行区域划分和细分的。对于在相同贸易路线上运行的不同尺寸的船舶，依存度较高，而在相邻区域内运行的具有相同尺寸的船舶的货运依存度要比在偏远地区高。大多数返回对中都存在极端联动，尾部相关性显着。我们进一步记录了重大的极端风险溢出效应，尤其是在相邻或相同交易路线之间的溢出效应，并且在熊市和看涨市场中发现这种溢出效应是不对称的。我们的发现为运输风险管理提供了启示。