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A bootstrap dynamic multivariate panel Granger causality analysis to examine the relationship between the COVID-19, Delta and Omicron pandemic era and the maritime shipping freight industry

Author

Listed:
  • Wu, Tsung-Pao
  • Wu, Hung-Che
  • Liu, Ya-Tian
  • Wang, Chien-Ming
  • Wu, Cheng-Feng
  • Zheng, Yi

Abstract

This work applies a bootstrap multivariate panel Granger causality test to examine the causal relationship between the coronavirus disease 2019, Delta and Omicron pandemic eras and the maritime shipping freight industry across 15 Chinese marine transportation freight stocks through the data from Jannuary 23, 2020 to December 6, 2022. After accounting for both dependency and heterogeneity across these industries, we find support for six of the 15 maritime shipping freight enterprises which display a unidirectional Granger relationship between stock returns and pandemic-related shocks and five of them which demonstrate a bidirectional association. On the other hand, the stock values of three firms in this cohort Granger “lead” the epidemic, suggesting that the adjustment of expectations to external shocks and the efficient market hypothesis could elucidate apparent causal connections. The empirical findings of this work provide important policy implications for the maritime shipping freight industry.

Suggested Citation

  • Wu, Tsung-Pao & Wu, Hung-Che & Liu, Ya-Tian & Wang, Chien-Ming & Wu, Cheng-Feng & Zheng, Yi, 2024. "A bootstrap dynamic multivariate panel Granger causality analysis to examine the relationship between the COVID-19, Delta and Omicron pandemic era and the maritime shipping freight industry," Economic Analysis and Policy, Elsevier, vol. 83(C), pages 719-733.
    • Handle: RePEc:eee:ecanpo:v:83:y:2024:i:c:p:719-733
    DOI: 10.1016/j.eap.2024.07.008
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    Keywords

    China; Maritime shipping freight industry; COVID-19; Delta and Omicron pandemic eras; Dynamic analysis; Panel Granger causality; Government policies; Efficient market hypothesis;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • F1 - International Economics - - Trade
    • R4 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Transportation Economics
    • O3 - Economic Development, Innovation, Technological Change, and Growth - - Innovation; Research and Development; Technological Change; Intellectual Property Rights
    • O33 - Economic Development, Innovation, Technological Change, and Growth - - Innovation; Research and Development; Technological Change; Intellectual Property Rights - - - Technological Change: Choices and Consequences; Diffusion Processes

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