Dynamic dependence between sectoral indexes of BRIC countries and the baltic dirty tanker index: An investigation using the generalized R2 approach

IF 6.3 2区 经济学 Q1 BUSINESS, FINANCE
Şerife Akıncı Tok , Savaş Tarkun
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引用次数: 0

Abstract

This study analyzes the dynamic connectedness between the Baltic Dirty Tanker Index (BDTI) and sector indexes in the stock exchanges of the BRIC countries, focusing on the chemical, oil, and raw materials sectors. Using daily data from January 1, 2015, to September 30, 2024, the analysis reveals significant pairwise relationships, highlighting the sensitivity of these sector indexes to shipping costs. The findings indicate that during periods of heightened market volatility, the BDTI has substantial influence, especially on Russia's chemical and India's oil and gas sectors. These results suggest that geopolitical risks and market uncertainty can significantly amplify interdependence. Based on these insights, proactive policies aimed at stabilizing shipping costs and improving cooperation among the BRIC countries are recommended to mitigate the impact of unexpected increases in freight rates. This study offers valuable information for policy makers, investors, and industry representatives for strengthening risk management strategies in shipping and logistics.
金砖四国部门指数与波罗的海脏船指数之间的动态依赖关系:使用广义R2方法的调查
本研究分析了波罗的海脏船指数(BDTI)与金砖四国证券交易所行业指数之间的动态联系,重点关注化工、石油和原材料行业。利用2015年1月1日至2024年9月30日的每日数据,分析显示了显著的两两关系,突出了这些行业指数对运输成本的敏感性。研究结果表明,在市场波动加剧的时期,BDTI具有重大影响,特别是对俄罗斯的化工和印度的石油和天然气行业。这些结果表明,地缘政治风险和市场不确定性可以显著放大相互依存关系。基于这些见解,建议采取旨在稳定运输成本和改善金砖四国之间合作的积极政策,以减轻运费意外上涨的影响。本研究为政策制定者、投资者及业界代表加强航运物流风险管理策略提供有价值的资讯。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
7.60
自引率
3.80%
发文量
130
审稿时长
26 days
期刊介绍: Peer Review under the responsibility of Borsa İstanbul Anonim Sirketi. Borsa İstanbul Review provides a scholarly platform for empirical financial studies including but not limited to financial markets and institutions, financial economics, investor behavior, financial centers and market structures, corporate finance, recent economic and financial trends. Micro and macro data applications and comparative studies are welcome. Country coverage includes advanced, emerging and developing economies. In particular, we would like to publish empirical papers with significant policy implications and encourage submissions in the following areas: Research Topics: • Investments and Portfolio Management • Behavioral Finance • Financial Markets and Institutions • Market Microstructure • Islamic Finance • Financial Risk Management • Valuation • Capital Markets Governance • Financial Regulations
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