Research On Dynamic Spillover Effects Between Shipping Market And Bulk Commodity Market

The shipping market,as the link connecting the global supply chain,occupies an important position in international trade.The bulk commodity market has long history,complex structure,and great international strategic significance.It is closely related to the national economy and people’s livelihood as well as international relations.The bulk commodity market is an important part of international trade.As the acceleration of economic globalization and integration,the linkage between international markets has gradually increased.The shipping market is the main means of transportation in the bulk commodity market.The bulk commodity market is the main transportation of goods in the shipping market.The freight rate of shipping is closely related to the price of oil.Both the shipping market and the bulk commodity market will be impacted by the world’s macroeconomic events.It is found that the shipping market and the bulk commodity market are becoming increasingly close and becoming an inseparable whole.This thesis studies the relevance and linkage between the shipping market and the bulk commodity market,focusing on the perspective of the shipping market,studying its dynamic spillover effects with bulk commodities,and exploring the characteristics of time-varying,linkage and conductivity across markets.This thesis selects the Baltic Dry Index(BDI),the Baltic Panamax Index(BPI),the Baltic Capesize Index(BCI),and the Baltic Crude Oil Index(BDTI)to represent the shipping market.The CRB,WTI,LME Aluminum futures,CBOT Wheat futures,and CBOT Soybeans futures represent the bulk commodity market.The time interval of the sample is from October26,2010 to December 2,2020,with a total of 2389 observation data.DCC-GARCH model and spillover index model are used to study and analyze the characters of co-movement,time-varying and conductivity of volatility spillovers between the shipping market and the bulk commodity market.Empirical research shows that(1)there is a dynamic correlation between the shipping market and the bulk commodity market.Combining the fluctuations of the dynamic correlation coefficient graph and the linkage study of major events in the world,it can be found that in these time such as the Syrian war in 2011,the Ebola virus in February 2014,the crude oil plunge in 2015 and the global spread of COVID-19 in 2020,the dynamic correlation coefficients of the shipping market and the bulk commodity market have all experienced significant fluctuations,which fully reflects the time-varying spillover relationship between the shipping market and the bulk commodity market.(2)The total static spillover index between the shipping market and the bulk commodity market is 16.38%,which proves that there is a certain cross-market spillover effect between the two markets and that the shipping market is dominant in the entire system.(3)The total dynamic spillover index in the shipping market and the bulk commodity market system mostly fluctuates between 35% and 45%,and shows a certain cyclical and volatility.Combined with major events in the world,it can be found that the total spillover index fluctuates drastically with the occurrence of major events,and may even fluctuate up to 90%.With the emergence of crises,the cross-market spillover index will increase,and the inter-market linkage will be closer.