重大事件是否影响了航运市场溢出传递的稳定性

doi:10.16381/j.cnki.issn1003-207x.2021.0250

Abstract

Abstract:

The development of world has been impacted by emergencies of varying degrees and unpredictability， such as the Trade conflict between China and the U.S.， the crude oil price war， and the COVID-19. Investors' cognition and sentiment towards the market are directly or indirectly affected by the impact of the above events on the market relationship. Existing studies on cross-market risk spillovers of events are mostly confined to commodity and financial markets. As a giant industry always at the forefront of the global trade market， the shipping industry can not be ignored in the risk linkage between the cross-markets. It focuses on the shipping market， represented by Baltic Capesize Index， Baltic Panama Index， Baltic Supramax Index and Baltic Dirty Tanker Index， and the spillover linkage relationship between it with the commodity market which represented by crude oil， copper， aluminum and other industrial raw materials， and the capital market represented by stocks is explored. Therefore， it provides theoretical reference for cross-market portfolio participants， global transportation networks and capital markets. Firstly， the dynamic relationship among 12 fine molecule markets is modeled by Time-varying parameter VAR model （TVP-SVAR）. Combined with the spillover index of different periods， the intensity and direction of spillover of price information among different sub-markets are investigated， so as to grasp the dynamic trend of the market system from 2014 to 2021. Secondly， by taking four major events as examples， the DY spillover index model is used to construct network， and the spillover rules between markets at different time are compared. The potential time-varying characteristics of network center of gravity are explored， and the migration rules of system spillover center under the impact of events are intuitively reflected.The results show that　（1） The total spillover index of each sub-market remains at a high level， with an average of 67.29. Under the influence of different events， the total spillover index shows varying degrees of fluctuation， which confirms the influence of events on cross-market stability. The shipping market is the most important information carrier with an average of 37.37， and the Capesize bulk carrier market has the most outstanding overflow capacity. Moreover， the shipping market is different from other markets in that transporting and receiving capacity are asymmetrically distributed， which indicates that the fluctuation of freight price in the shipping market is mainly caused by its own influence， which once again proves the special status of the shipping market. （2） Different events have different impact intensity on the stability of cross-market spillover and the shipping market maintains the ability to transmit information. During the crude oil price war， the maximum of the overall market spillover increased by 31.76% compared with the average. During the COVID-19 pandemic， freight rate spillovers are higher than commodity price spillovers， highlighting the role of the shipping market in the system. In addition， the change of market spillover transmission center is also related to the type of events， and the information transmission ability of the market directly related to it will be improved to varying degrees when the corresponding events occur. New evidence for the importance of shipping market and events in the field of cross-market risk management and investment forecasting， and a new thinking direction for market investors are provided.

Key words: shipping market, spillover effect, major events, cross-market risk

CLC Number:

F830.9

Bin MENG,Rong-wen-jun LIAN,Cong SUI, et al. Do Major Events Affect the Stability of Shipping Market Spillover and Transmission?[J]. Chinese Journal of Management Science, 2023, 31(11): 46-57.

Figures/Tables 13

指数	$z 1$	$z 2$	$?$	$z i$	$?$	$z n$	From
$z 1$	$S 11 t H$	$S 12 t H$	$?$	$S 1 i t H$	$?$	$S 1 n t H$	$S 1 ? t H$
$z 2$	$S 21 t H$	$S 22 t H$	$?$	$S 2 i t H$	$?$	$S 2 n t H$	$S 2 ? t H$
$?$	$?$	$?$		$?$	$?$	$?$	$?$
$z i$	$S i 1 t H$	$S i 2 t H$	$?$	$S i i t H$		$S i n t H$	$S i ? t H$
$?$	$?$	$?$		$?$		$?$	$?$
$z n$	$S n 1 t H$	$S n 2 t H$	$?$	$S n i t H$	$?$	$S n n t H$	$S n ? t H$
To	$S ? 1 t H$	$S ? 2 t H$	$?$	$S ? i t H$	$?$	$S ? n t H$	$S H$

指数	$z 1$	$z 2$	$?$	$z i$	$?$	$z n$	From
$z 1$	$S 11 t H$	$S 12 t H - S 21 t H$	$?$	$S 1 i t H - S i 1 t H$	$?$	$S 1 n t H - S n 1 t H$	$S 1 ? t H$
$z 2$	0	$S 22 t H$	$?$	$S 2 i t H - S i 2 t H$	$?$	$S 2 n t H - S n 2 t H$	$S 2 ? t H$
$?$	$?$	$?$		$?$	$?$	$?$	$?$
$z i$			0	$S i i t H$		$S i n t H - S n i t H$	$S i ? t H$
$?$		$?$		$?$		$?$	$?$
$z n$	0	$?$			0	$S n n t H$	$S n ? t H$
To	$S ? 1 t H$	$S ? 2 t H$	$?$	$S ? i t H$	$?$	$S ? n t H$	$S H$
净溢出	$S ? 1 t H - S 1 ? t H$	$S ? 2 t H - S 2 ? t H$		$S ? 3 t H - S 3 ? t H$		$S ? n t H - S n ? t H$

时间	重大事件	事件类型
2014年3月1日	西非暴发埃博拉疫情	公共卫生
2014年6月中旬	国际石油市场价格暴跌，从每桶100美元暴跌至60美元	商品领域
2015年下半年	中国经济放缓引发2015年股市崩盘，对全球股市产生了不利影响	资本领域
2015年9月初	大宗商品价格指数跌至2009年以来最低水平	商品领域
2015年11月1日	BDI连跌20天，跌破500点，为指数发布以来历史最低	航运领域
2016年4月17日	主要产油国会议谈判失败，国际油价随即震荡下滑，WTI现货价格下跌至55美元/桶	国际时政
2017年3月29日	英国政府正式启动脱欧	国际时政
2018年1月2日	美国三大股市集体走高。其中，标普500指数与纳斯达克指数双双刷新历史最高收盘纪录，纳指历史上首次收于7000点大关之上	资本领域
2018年3月22日	美国宣布将对从中国进口的约600亿美元商品加征关税	国际时政
2018年7月6日	中方实施涉及自美进口商品金额分别为500亿美元的反制措施	国际时政
2018年7月10日	美国公布第二批征税清单，约合2000亿美元	国际时政
2018年9月24日	中方实施涉及自美进口商品金额分别为600亿美元的反制措施	国际时政
2019年8月15日	美国违背约定，宣布将进一步对中国对美出口的约3000亿美元的商品加征关税	国际时政
2019年9月1日	中方实施涉及自美进口商品金额分别为750亿美元的反制措施	国际时政
2020年1月30日	欧盟正式批准了英国脱欧世界卫生组织(WHO)宣布，将新型冠状病毒疫情列为国际关注的突发公共卫生事件	国际时政公共卫生
2020年3月	美股在10天内4次熔断(3月9日、3月12日、3月16日，3月18日)	资本领域
2020年3月11日	世界卫生组织表示，新冠肺炎疫情的暴发已经构成一次全球性“大流行”	公共卫生
2020年3月14日	沙特发动了石油价格战，大幅降低售往欧洲、远东和美国等国外的市场的原油价格	国际时政
2020年4月20日	美国5月份轻质原油期货WTI价格首次跌至负值	商品领域

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航运指数	船型	航线及连接区域	主要货物
BCI	好望角型干散货船(8万吨以上)	远洋航线：巴西-荷兰，巴西-中国，南非-荷兰，澳大利亚-中国，委内瑞拉-中国，北非-德国，欧洲大陆/地中海-远东，太平洋环线，中国-欧洲大陆，南非-中国	铁矿石、铁矿砂、磷矿石、铝矾土以及煤炭等工业原料
BPI	巴拿马型干散货船(6万~8万吨)	远洋航线：跨大西洋环线，丹麦-北非-远东，日韩太平洋环线，英国-中国，远东-北太平洋-澳大利亚-丹麦-意大利	煤炭、粮食等民生物资
BSI	超灵便型干散货船(6万吨以下)	近海航线：美湾-远东，土耳其-远东，中国-北太平洋-澳大利亚环线，中国-西非，美湾-丹麦-意大利，西非-南非东岸-中国，非洲-南非东岸-丹麦-意大利，中国-印尼-印度，东南亚-中国	煤炭、磷肥、碳酸钾、木材、钢铁、水泥、白糖
BDTI	巴拿马型油轮(6万~8万吨)；阿芙拉型油轮(8万~12万吨)；苏伊士型油轮(12万~20万吨)；VLCC型油轮(20万~30万吨)；ULCC型油轮(30万吨以上)	综合航线：中东/红海/西非-远东，北非-地中海，北海-美国，波罗的海-欧洲大陆，墨西哥东岸-美国/欧洲/南美，加勒比-美国/欧洲/南美/印度次大陆/远东，南美-美国/欧洲/远东，印度尼西亚/马来西亚至远东/澳新	原油及其初级产品

指数	BPI	BCI	BSI	BDTI	S&P500	WTI	铜	铝	铁	小麦	玉米	大豆	From
BPI	78.31	11.16	1.64	1.25	0.92	1.19	0.65	0.22	1.23	1.54	0.52	1.37	1.81
BCI	2.30	93.35	0.45	0.28	0.19	0.82	0.16	0.25	0.39	0.53	0.30	0.98	0.55
BSI	18.61	20.15	51.34	3.09	0.67	1.01	1.18	0.78	0.76	0.80	0.59	1.01	4.05
BDTI	2.37	5.85	2.36	83.32	0.25	0.65	0.56	0.34	1.35	0.87	1.04	1.05	1.39
S&P500	2.54	49.02	2.24	2.52	14.11	3.03	1.86	2.05	2.11	6.50	10.69	3.35	7.16
WTI	6.29	21.39	1.25	5.57	3.85	14.70	12.64	4.07	9.88	5.11	10.63	4.62	7.11
铜	2.65	23.79	2.02	4.31	3.26	1.26	6.36	3.43	3.50	25.03	11.48	12.89	7.80
铝	3.19	20.38	1.50	6.64	5.84	5.19	13.34	7.26	2.51	9.31	15.19	9.66	7.73
铁	5.79	43.49	2.46	1.95	3.16	1.93	6.57	4.36	7.55	12.14	7.24	3.35	7.70
小麦	1.62	44.34	3.16	3.14	1.04	9.98	6.05	3.95	1.61	11.74	3.95	9.42	7.36
玉米	2.47	49.67	1.41	2.79	0.81	6.92	4.17	1.44	2.25	5.41	17.10	5.57	6.91
大豆	5.25	36.47	3.99	15.76	0.70	4.34	5.69	4.80	3.80	6.58	5.27	7.36	7.72
To	4.42	27.14	1.87	3.94	1.73	3.03	4.40	2.14	2.45	6.15	5.57	4.44	67.29
净溢出	2.62	25.33	-2.18	2.55	-5.43	-4.08	-3.40	-5.59	-5.25	-1.20	-1.33	-3.28

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Do Major Events Affect the Stability of Shipping Market Spillover and Transmission?

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