Does the Baltic Dry Index drive volatility spillovers in the commodities, currency, or stock markets?
This study examines the spillover effect of the Baltic Dry Index (BDI) on the commodities futures, currency, and stock markets by using a tri-variate VAR-BEKK-GARCH-X model on a dataset from October 1, 2007 to October 31, 2018. Results reveal that the BDI spillover effect is time-varying. The spillover effect of the BDI was insignificant during the whole sample period but significant during the 2008/2009 global financial tsunami, and its influence increased during the 2014–2016 economic slowdown in China. The BDI serves as a short-term rather than long-term indicator for the commodities, currency, and equity markets, especially during financial crises.
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Availability:
- Find a library where document is available. Order URL: http://worldcat.org/issn/13665545
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Supplemental Notes:
- © 2019 Arthur J Lin et al. Published by Elsevier Ltd. Abstract reprinted with permission of Elsevier.
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Authors:
- Lin, Arthur J
- Chang, Hai Yen
- Hsiao, Jung Lieh
- Publication Date: 2019-7
Language
- English
Media Info
- Media Type: Web
- Features: Appendices; Figures; References; Tables;
- Pagination: pp 265-283
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Serial:
- Transportation Research Part E: Logistics and Transportation Review
- Volume: 127
- Issue Number: 0
- Publisher: Elsevier
- ISSN: 1366-5545
- Serial URL: http://www.sciencedirect.com/science/journal/13665545
Subject/Index Terms
- TRT Terms: Commodities; Currency; Dry bulk cargo; Shipping
- Identifier Terms: Baltic Dry Index
- Uncontrolled Terms: Spillover; Stock markets
- Geographic Terms: China
- Subject Areas: Economics; Freight Transportation; Planning and Forecasting;
Filing Info
- Accession Number: 01709712
- Record Type: Publication
- Files: TRIS
- Created Date: Jul 1 2019 9:20AM