Does the Baltic Dry Index drive volatility spillovers in the commodities, currency, or stock markets?

CCUR > College of Business > Department of Banking & Finance > periodical articles > Item 987654321/45538

Please use this identifier to cite or link to this item: https://irlib.pccu.edu.tw/handle/987654321/45538

Title:	Does the Baltic Dry Index drive volatility spillovers in the commodities, currency, or stock markets?
Authors:	Lin, AJ (Lin, Arthur J.) Chang, HY (Chang, Hai Yen) Hsiao, JL (Hsiao, Jung Lieh)
Contributors:	財金系
Keywords:	Volatility spillover VAR-BEKK-GARCH-X model Baltic Dry Index Dry bulk shipping
Date:	2019-07
Issue Date:	2019-12-25 14:42:56 (UTC+8)
Abstract:	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.
Relation:	TRANSPORTATION RESEARCH PART E-LOGISTICS AND TRANSPORTATION REVIEW 卷冊: 127 頁數: 265-283
Appears in Collections:	[Department of Banking & Finance ] periodical articles

Files in This Item:

File	Description	Size	Format
index.html		0Kb	HTML	170	View/Open

View Licence