Abstract
The tanker shipping market has been regarded as a key extension of the global oil market and its uncertainty is related to the volatility of oil market. Therefore, for improving transportation risk management of oil shipping companies and oil imports countries, it is of significance to investigate the spillover effects across the oil market and the tanker market. Taking the volatility breaks into account, this paper establishes a VAR-BEKK-GARCH model for both the entire sample period from 1 June 2006 to 1 April 2014 and two sub-period samples. The empirical results provide evidence that the volatility of Brent market has more significant impacts on the tanker market than the WTI market in general. Moreover, the influence of oil markets on the tanker market during sub-sample 1 period (1 June 2006-23 April 2009) is stronger than that in sub-sample 2 (24 April 2009-1 April 2014).
| Original language | English |
|---|---|
| Pages (from-to) | 257-277 |
| Number of pages | 21 |
| Journal | International Journal of Global Energy Issues |
| Volume | 38 |
| Issue number | 4-6 |
| DOIs | |
| State | Published - 2015 |
| Externally published | Yes |
UN SDGs
This output contributes to the following UN Sustainable Development Goals (SDGs)
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SDG 7 Affordable and Clean Energy
Keywords
- BEKK-GARCH
- Energy security
- Oil market
- Spillover effects
- Structural breaks
- Tanker shipping market
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