Cross-market risk contagion and portfolio diversification: a novel dynamic connectedness framework for fossil fuel and shipping markets

IF 8.8 1区工程技术 Q1 ECONOMICS

Transportation Research Part E-Logistics and Transportation Review Pub Date : 2025-10-05 DOI:10.1016/j.tre.2025.104443

Shuiyang Chen, Bin Meng, Liang Lv

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引用次数: 0

Abstract

With geopolitical tensions and global uncertainties on the rise, the transmission of shocks from energy to shipping markets has intensified, triggering a renewed and urgent interest in the energy-shipping interconnection. This paper applies a dynamic connectedness approach based on the DCC-GARCH framework to examine the relationship between oil/coal prices and their corresponding shipping route freight rates. We also construct an innovative portfolio technique focused on minimizing connectedness within the DCC-GARCH model. Furthermore, we quantify the risk contagion between these markets using the Copula-GARCH-CoVaR method. Empirical results suggest that portfolios can benefit from diversification by incorporating both oil/coal and shipping assets. Notably, the minimum connectedness portfolio technique offers substantial risk reduction and return enhancement. We identify an asymmetric risk contagion between the oil/coal and shipping markets, with risks propagating more rapidly and intensively from oil/coal markets to shipping markets. Both upside and downside risks in oil/coal and shipping assets are significantly underestimated. Additionally, deadweight tonnage and shipping route distance influence the degree of risk contagion, with larger tonnages and longer routes amplifying the transmission of oil/coal price risk to shipping freight rate.

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跨市场风险传染和投资组合多样化：化石燃料和航运市场的新型动态联系框架

随着地缘政治紧张局势和全球不确定性的加剧，能源对航运市场的冲击传导加剧，引发了对能源航运互联的新一轮迫切关注。本文采用基于DCC-GARCH框架的动态连通性方法来研究石油/煤炭价格与其相应的航线运价之间的关系。我们还构建了一种创新的投资组合技术，专注于最小化DCC-GARCH模型中的连通性。此外，我们使用Copula-GARCH-CoVaR方法量化了这些市场之间的风险传染。实证结果表明，通过合并石油/煤炭和航运资产，投资组合可以从多样化中受益。值得注意的是，最小连通性投资组合技术提供了显著的风险降低和收益提高。我们发现石油/煤炭和航运市场之间存在不对称的风险蔓延，风险从石油/煤炭市场向航运市场传播得更快、更密集。石油/煤炭和航运资产的上行和下行风险都被严重低估。此外，载重吨位和航线距离影响风险传染的程度，吨位越大，航线越长，油/煤价格风险对运价的传导越大。

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

Transportation Research Part E-Logistics and Transportation Review 工程技术-工程：土木

CiteScore

16.20

自引率

16.00%

发文量

285

审稿时长

62 days

期刊介绍： Transportation Research Part E: Logistics and Transportation Review is a reputable journal that publishes high-quality articles covering a wide range of topics in the field of logistics and transportation research. The journal welcomes submissions on various subjects, including transport economics, transport infrastructure and investment appraisal, evaluation of public policies related to transportation, empirical and analytical studies of logistics management practices and performance, logistics and operations models, and logistics and supply chain management. Part E aims to provide informative and well-researched articles that contribute to the understanding and advancement of the field. The content of the journal is complementary to other prestigious journals in transportation research, such as Transportation Research Part A: Policy and Practice, Part B: Methodological, Part C: Emerging Technologies, Part D: Transport and Environment, and Part F: Traffic Psychology and Behaviour. Together, these journals form a comprehensive and cohesive reference for current research in transportation science.