Liner shipping industry and oil price volatility: Dynamic connectedness and portfolio diversification

• Published in: Transportation research. Part E, Logistics and transportation review Vol. 138; p. 101962
• Main Authors: Maitra, Debasish, Chandra, Saurabh, Dash, Saumya Ranjan
• Format: Journal Article
• Language: English
• Published: Elsevier Ltd 01-06-2020
• Subjects: Liner shipping; Oil price; Portfolio diversification; Utility maximization; Volatility spillover; Utility maximization; Liner shipping; Volatility spillover; Oil price; Portfolio diversification
• ISSN: 1366-5545; 1878-5794
• DOI: 10.1016/j.tre.2020.101962

•We examine the volatility spillover and connectedness.•We employ dynamic conditional equicorrelations and spillover index.•Volatility comovement between oil and liner shipping increased during crisis period.•We estimate portfolio diversification strategies and utility gains.
Given the importance of the relationship between oil and liner shipping markets, this paper examines the volatility spillover and connectedness between oil and liner shipping markets. We employ dynamic conditional equicorrelations and spillover index approach to know volatility co-movement and spillover between oil prices and returns of liner shipping stocks, respectively. The volatility co-movement between oil and liner shipping companies’ stock returns increased during the 2007–09 global financial crisis, and 2010–12 Eurozone debt crisis. We extend our analysis by considering portfolio diversification strategies and utility gains across pre-crisis, crisis, and post-crisis periods. Our findings are useful to policymakers and investors.