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Oil price volatility and the logistics industry: Dynamic connectedness with portfolio implications

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  • Maitra, Debasish
  • Rehman, Mobeen Ur
  • Dash, Saumya Ranjan
  • Kang, Sang Hoon

Abstract

This paper investigates the direction and extent of volatility connectedness between fluctuating oil prices and the stock returns of international transportation or logistics companies. The dynamic equicorrelation, and the spillover index are employed to identify the correlation and volatility transmission between oil prices and the stock returns of transportation or logistic companies. The total spillover showed a sharp jump during 2008–2009 that overlapped with the global financial crisis, followed by a global economic slowdown and an oil supply glut during 2015–2016. We also consider portfolio diversification strategies by following the tail risk for different periods, as delineated by the global financial crisis. Our findings have implications for investors, fund managers, and policymakers.

Suggested Citation

  • Maitra, Debasish & Rehman, Mobeen Ur & Dash, Saumya Ranjan & Kang, Sang Hoon, 2021. "Oil price volatility and the logistics industry: Dynamic connectedness with portfolio implications," Energy Economics, Elsevier, vol. 102(C).
    • Handle: RePEc:eee:eneeco:v:102:y:2021:i:c:s0140988321003844
    DOI: 10.1016/j.eneco.2021.105499
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    More about this item

    Keywords

    Oil price; Transportation/logistic companies; Volatility; Spillover; Portfolio diversification;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    Statistics

    Access and download statistics

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