In view of the interactive relationship among handysize, panamax and capsize dry bulk shipping markets, the dry bulk freight indexes of different vessel types issued by the Baltic Shipping Exchange were employed and the volatility spillover effect among three dry bulk shipping markets of different vessel types was studied by BEKK variance model of multivariate GARCH. It is pointed that capesize dry bulk shipping market has volatility spillover effect on handysize dry bulk shipping market and panamax dry bulk shipping market while handysize dry bulk shipping market and panamax dry bulk shipping market have no volatility spillover effect on capesize dry bulk shipping market, and there is a two-way volatility spillover effect between handysize dry bulk shipping market and panamax dry bulk shipping market. Wald test verified the correctness of above inference. The results can provide references for dry bulk shipping operators to avoid risk of market volatility.
dry bulk shipping marketvolatility spillover effectBEKK variance model
NETL
NSTL
维普
万方数据
