| In global world,transportation services are very important,because the economy is linked through international trade,and shipping freight rates carry the information of global economic activities.The shipping industry is closely connected with the world economy and international trade business cycle,and the fluctuations of economy and trade are mainly reflected in the stock market.With the increasing financialization of the shipping market,any periodicity and volatility of trade may directly affect the transportation cost,and then affect the freight rate of the whole shipping market.Therefore,understanding the fluctuation behavior of the stock market during major events and crises,such as the time-varying conditional correlation between the BRICs countries and the shipping market,dealing with portfolios spanning different crisis periods,and establishing portfolio diversification and risk management calculations are the focus of international investors and policymakers.This thesis takes the stock market and shipping market as the research object.The shipping market is measured by Baltic Dry Index(BDI),Chinese Container Freight Index(CCFI)and Baltic Exchange Dirty Tanker Index(BDTI);For the global stock market,this thesis selects the stock markets of the BRICs and the United States to represent the global stock market.This thesis selects the weekly data of 748 groups of observation data from January 12,2007 to May 21,2021,covering the sample data of shipping market and stock market of several global major events.Firstly,this thesis tests the correlation between shipping market and global stock market through Granger causality,and then uses asymmetric dynamic conditional correlation adcc-garch model to further analyze the existence of asymmetric volatility effect between markets;At the same time,on the basis of considering the dynamic "nonlinearity" between markets,this thesis constructs bekk-garch model to more accurately describe the transmission direction of impact and volatility spillover between international shipping market and global stock market,and makes a detailed and in-depth study on the linkage effect between markets.Based on bekk-garch model,the hedging ratio and the weight of the optimal portfolio are calculated for portfolio diversification and risk management through the hedging between shipping freight index and stock index.The research is of great guiding significance to help all stakeholders and potential participants in the shipping market use the optimal portfolio weight to reduce risks,build risk management strategies and maximize returns.The empirical research shows that:(1)there is a correlation between the shipping market and the global stock market,and there is an asymmetric time-varying conditional correlation between the markets.The correlation between BDI index and stock index is higher than that between BDTI,CCFI and stock index.(2)Volatility spillovers are mainly transmitted from the global stock market to the shipping market.(3)Through the analysis of the results of adcc-garch model,it shows the dynamic correlation between markets,indicating that with the dynamic change of risk transfer,the hedging ratio and the weight of the optimal portfolio will also change over time.In terms of cycle,the change of hedging ratio is caused by the impact on major events.The correlation between the shipping market and the global stock market during the crisis is higher than that in the early stage of the crisis. |
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