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An Analysis on the Asymmetric Time Varying Spillover Effect between Capesize and Panamax Markets  

Chung, Sang-Kuck (인제대학교 인문사회과학대학 국제경상학부/동북아경제연구소)
Publication Information
Journal of Korea Port Economic Association / v.27, no.3, 2011 , pp. 41-64 More about this Journal
Abstract
This article investigates the interrelationships in daily returns using fractionally integrated error correction term and volatilities using constant conditional correlation and dynamic conditional correlation GARCH with asymmetries between Capesize and Panamax markets. Our findings are as follows. First, for the fractionally cointegrated error correction model, there is a unidirectional relationship in returns from the Panamax market to the Capesize market, but a bidirectional causal relationship prevails for the traditional error correction models. Second, the coefficients for the error correction term are all statistically significant. Of particular interest are the signs of the estimates for the error correction term, which are all negative for the Capesize return equation and all positive for the Panamax return. Third, there are bidirectional volatility spillovers between both markets and the direction of the information flow seems to be stronger from Panamax to Capesize. Fourth, the coefficients for the asymmetric term are all significantly positive in the Capesize market, but the Panamax market does not have a significant effect. However, the coefficients for the asymmetric term are all significant, implying that the leverage effect does exist in the Capesize and Panamax markets.
Keywords
Dry Bulk Market; Long Memory Process; Fractionally Integrated Error Correction Model; Asymmetries; Asymmetric Dynamic Conditional Correlation;
Citations & Related Records
Times Cited By KSCI : 1  (Citation Analysis)
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