Assessing the extreme risk spillovers of international commodities on maritime markets: A GARCH-Copula-CoVaR approach

Maritime market relies on demand of international commodity trade from producers to consumers. Focusing on measuring the inherent correlation, this paper employs a GARCH-Copula-CoVaR approach to address the debate on the extreme risk spillovers from commodity market to maritime market. Our results provide new evidence regarding risk transmission from oil and ex-energy sector to the maritime markets, as well as the interactions between different sub-sectors of maritime market. It is also found that commodity markets exert different spillover effects on global and Chinese domestic maritime markets. In additional, the risk spillovers in oil-freight index pairs after global financial crisis is different from the before. Results enrich the knowledge of risk spillovers between commodity and maritime market, which help stakeholders improve portfolio optimization.