Title: Spillover effect of international crude oil market on tanker market

Authors: Yuying Yang; Chang Liu; Xiaolei Sun; Jianping Li

Addresses: Institute of Policy and Management, Chinese Academy of Sciences, Beijing 100190, China; University of Chinese Academy of Sciences, Beijing 100049, China ' Institute of Policy and Management, Chinese Academy of Sciences, Beijing 100190, China; University of Chinese Academy of Sciences, Beijing 100049, China ' Institute of Policy and Management, Chinese Academy of Sciences, Beijing 100190, China ' Institute of Policy and Management, Chinese Academy of Sciences, Beijing 100190, China

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).

Keywords: energy security; crude oil markets; tanker shipping markets; spillover effects; structural breaks; BEKK-GARCH; volatility; transport risks; risk management; oil tankers.

DOI: 10.1504/IJGEI.2015.070270

International Journal of Global Energy Issues, 2015 Vol.38 No.4/5/6, pp.257 - 277

Available online: 20 Jun 2015 *

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