Abstract
This study firstly explores dynamic volatility spillovers across bunker fuel markets in shipping industry. Volatilities in bunker markets are measured by using the dynamic conditional correlation GARCH model. And then bunker volatility spillovers across markets are studied. Our analysis provides an evidence of unidirectional volatility spillovers within Asian (European/American) region and across regions, and also documents that Singapore bunker market is a leading market in transmitting volatility within Asian region and across regions. Furthermore, we measure time-varying volatility spillover effects among Singapore bunker market and shipping freight markets, and between Singapore bunker spot and futures market. The results reveal information transmission and could assist market participants and stakeholders to adjust hedging strategies and minimize risks according to the interrelationships across markets.
| Original language | English |
|---|---|
| Journal | Maritime Policy and Management |
| DOIs | |
| Publication status | Accepted/In press - 2021 |
Keywords
- Bunker fuel markets
- DCC-GARCH
- dynamic volatility spillovers
- shipping freight and bunker futures markets
ASJC Scopus subject areas
- Geography, Planning and Development
- Transportation
- Ocean Engineering
- Management, Monitoring, Policy and Law