Financial market volatility and maritime freight indices: A connectedness approach

IF 4.4 2区工程技术 Q2 BUSINESS

Research in Transportation Business and Management Pub Date : 2025-09-09 DOI:10.1016/j.rtbm.2025.101506

Savaş Tarkun

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引用次数: 0

Abstract

This study investigates the dynamic and time-varying connectedness between global financial markets and maritime freight indices, emphasizing the transmission and direction of volatility shocks during periods of economic uncertainty. Using the Connectedness Decomposition Approach (TVP-VAR-based), we explore the interaction between major global stock indices (e.g., S&P 500, DJIA, DAX, NIKKEI225) and maritime freight indicators (BDI, BDTI, BCTI) over the period from January 2013 to December 2024. Our results reveal that stock market volatility significantly influences shipping indices, especially during global crises such as the COVID-19 pandemic. However, freight indices are not merely passive receivers of financial shocks; in certain episodes, they act as net transmitters of volatility, affecting financial markets in return. This dual behavior indicates a structural shift in the maritime sector's role within the global economic system. Furthermore, the findings show a declining trend in total connectedness post-2016, reflecting increased segmentation between freight and financial markets. These insights are particularly valuable for policymakers, investors, and maritime stakeholders seeking to develop hedging strategies, strengthen supply chain resilience, and better forecast market dependencies during financial and geopolitical turmoil.

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金融市场波动与海运运价指数：关联分析

本研究探讨全球金融市场与海运指数之间的动态和时变连通性，强调在经济不确定时期波动冲击的传递和方向。利用连通分解方法（基于tvp - var），我们探讨了2013年1月至2024年12月期间全球主要股指（如标准普尔500指数、道琼斯工业平均指数、DAX指数、日经225指数）与海运指标（BDI、BDTI、BCTI）之间的相互作用。我们的研究结果表明，股票市场波动显著影响航运指数，特别是在COVID-19大流行等全球危机期间。然而，货运指数不仅仅是金融冲击的被动接受者；在某些情况下，它们充当波动性的净传播者，反过来影响金融市场。这种双重行为表明海事部门在全球经济体系中的作用发生了结构性转变。此外，调查结果显示，2016年之后，总连通性呈下降趋势，反映出货运市场和金融市场之间的细分程度越来越高。这些见解对于寻求制定对冲策略、增强供应链弹性以及在金融和地缘政治动荡期间更好地预测市场依赖关系的政策制定者、投资者和海事利益相关者尤其有价值。

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

Research in Transportation Business and Management Multiple-

CiteScore

7.10

自引率

8.30%

发文量

175

期刊介绍： Research in Transportation Business & Management (RTBM) will publish research on international aspects of transport management such as business strategy, communication, sustainability, finance, human resource management, law, logistics, marketing, franchising, privatisation and commercialisation. Research in Transportation Business & Management welcomes proposals for themed volumes from scholars in management, in relation to all modes of transport. Issues should be cross-disciplinary for one mode or single-disciplinary for all modes. We are keen to receive proposals that combine and integrate theories and concepts that are taken from or can be traced to origins in different disciplines or lessons learned from different modes and approaches to the topic. By facilitating the development of interdisciplinary or intermodal concepts, theories and ideas, and by synthesizing these for the journal''s audience, we seek to contribute to both scholarly advancement of knowledge and the state of managerial practice. Potential volume themes include: -Sustainability and Transportation Management- Transport Management and the Reduction of Transport''s Carbon Footprint- Marketing Transport/Branding Transportation- Benchmarking, Performance Measurement and Best Practices in Transport Operations- Franchising, Concessions and Alternate Governance Mechanisms for Transport Organisations- Logistics and the Integration of Transportation into Freight Supply Chains- Risk Management (or Asset Management or Transportation Finance or ...): Lessons from Multiple Modes- Engaging the Stakeholder in Transportation Governance- Reliability in the Freight Sector