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Measuring risk spillover effects on dry bulk shipping market: a value-at-risk approach

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  • Jialin Yang
  • Xin Zhang
  • Ying-En Ge

Abstract

This paper adopts a simple but valid value-at-risk (VaR) approach to measuring the risk in the dry bulk shipping market by means of Baltic Dry Index (BDI). To have a better understanding of the risk in the dry bulk shipping market, this paper uses the stock market and the crude oil market as two reference markets. Available rich datasets enable a non-parametric historical simulation experiment on the risk in the dry bulk shipping market. The bellwether phenomenon in the dry bulk shipping market is explored both qualitatively and quantitatively. The experiment indicates that the dry bulk shipping market becomes the riskiest one among the aforementioned markets after the Subprime Mortgage Crisis that started in the USA in the early 2008. Furthermore, this paper identifies the information transmission mechanisms between the dry bulk shipping market and the reference markets by employing a multivariate quantile model and an impulse-response method, and explores and compares risk spillover effects of the global stock market and the crude oil market on the dry bulk shipping market before and after the financial crisis. Results reveal that spillover effects between the referred markets change after the Subprime Mortgage Crisis in terms of intensity.

Suggested Citation

  • Jialin Yang & Xin Zhang & Ying-En Ge, 2022. "Measuring risk spillover effects on dry bulk shipping market: a value-at-risk approach," Maritime Policy & Management, Taylor & Francis Journals, vol. 49(4), pages 558-576, May.
    • Handle: RePEc:taf:marpmg:v:49:y:2022:i:4:p:558-576
    DOI: 10.1080/03088839.2021.1889064
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    Cited by:

    1. Cheng-Wen Chang & Ming-Hsien Hsueh & Chia-Nan Wang & Cheng-Chun Huang, 2023. "Exploring the Factors Influencing the Impact of the COVID-19 Pandemic on Global Shipping: A Case Study of the Baltic Dry Index," Sustainability, MDPI, vol. 15(14), pages 1-17, July.

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