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

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题名:	Does the Baltic Dry Index drive volatility spillovers in the commodities, currency, or stock markets?
作者:	Lin, AJ (Lin, Arthur J.) Chang, HY (Chang, Hai Yen) Hsiao, JL (Hsiao, Jung Lieh)
贡献者:	財金系
关键词:	Volatility spillover VAR-BEKK-GARCH-X model Baltic Dry Index Dry bulk shipping
日期:	2019-07
上传时间:	2019-12-25 14:42:56 (UTC+8)
摘要:	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.
關聯:	TRANSPORTATION RESEARCH PART E-LOGISTICS AND TRANSPORTATION REVIEW 卷冊: 127 頁數: 265-283
显示于类别:	[財務金融學系 ] 期刊論文

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