Freight rate co-movement and risk spillovers in the product tanker shipping market: a copula analysis
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 effec...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Journal Article |
| Language: | English |
| Published: |
2022
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| Subjects: | |
| Online Access: | https://hdl.handle.net/10356/160449 |
| _version_ | 1826116022868901888 |
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| author | Bai, Xiwen Lam, Jasmine Siu Lee |
| author2 | School of Civil and Environmental Engineering |
| author_facet | School of Civil and Environmental Engineering Bai, Xiwen Lam, Jasmine Siu Lee |
| author_sort | Bai, Xiwen |
| collection | NTU |
| description | 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. |
| first_indexed | 2024-10-01T04:04:38Z |
| format | Journal Article |
| id | ntu-10356/160449 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T04:04:38Z |
| publishDate | 2022 |
| record_format | dspace |
| spelling | ntu-10356/1604492022-07-22T06:16:15Z Freight rate co-movement and risk spillovers in the product tanker shipping market: a copula analysis Bai, Xiwen Lam, Jasmine Siu Lee School of Civil and Environmental Engineering Maritime Energy and Sustainable Development Centre of Excellence Engineering::Environmental engineering Product Tanker Risk Management 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. 2022-07-22T06:16:15Z 2022-07-22T06:16:15Z 2021 Journal Article Bai, X. & Lam, J. S. L. (2021). Freight rate co-movement and risk spillovers in the product tanker shipping market: a copula analysis. Transportation Research Part E: Logistics and Transportation Review, 149, 102315-. https://dx.doi.org/10.1016/j.tre.2021.102315 1366-5545 https://hdl.handle.net/10356/160449 10.1016/j.tre.2021.102315 2-s2.0-85104133230 149 102315 en Transportation Research Part E: Logistics and Transportation Review © 2021 Elsevier Ltd. All rights reserved. |
| spellingShingle | Engineering::Environmental engineering Product Tanker Risk Management Bai, Xiwen Lam, Jasmine Siu Lee Freight rate co-movement and risk spillovers in the product tanker shipping market: a copula analysis |
| title | Freight rate co-movement and risk spillovers in the product tanker shipping market: a copula analysis |
| title_full | Freight rate co-movement and risk spillovers in the product tanker shipping market: a copula analysis |
| title_fullStr | Freight rate co-movement and risk spillovers in the product tanker shipping market: a copula analysis |
| title_full_unstemmed | Freight rate co-movement and risk spillovers in the product tanker shipping market: a copula analysis |
| title_short | Freight rate co-movement and risk spillovers in the product tanker shipping market: a copula analysis |
| title_sort | freight rate co movement and risk spillovers in the product tanker shipping market a copula analysis |
| topic | Engineering::Environmental engineering Product Tanker Risk Management |
| url | https://hdl.handle.net/10356/160449 |
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