Study on the Price Spillover Effect between China Iron ore Futures Import Price and International Dry Bulk Freight and Crude Oil Market

DOI

10.2991/978-94-6463-546-1_12How to use a DOI?

Keywords

shipping market; iron ore futures; price spillover effect; VAR model; BEKK-MGARCH model

Abstract

This paper takes the international dry bulk freight, international crude oil market and China iron ore futures import price from January 2010 to March 2023 as the research objects, and verifies and studies the relationship among them from the perspective of price spillover and fluctuation spillover. The results show that significant price spillover effects exist between the international dry bulk freight market and the import price of iron ore futures in China, and between the international crude oil market and the international dry bulk freight market. This study first uses the VAR model, and draws the conclusion that the import price of China iron ore futures is directly affected by the price spillover effect of the international dry bulk freight market, while the international dry bulk freight is directly affected by the price spillover effect of the international crude oil market. Secondly, with the help of BEKK-MGARCH model, it is concluded that from the perspective of volatility risk spillover effect, the fluctuation of each variable is mainly impacted by its own changes, and there is a significant linkage between the international dry bulk freight market and the import price of iron ore futures in China, but this linkage relationship is not found among the other variables, but there is GARCH or ARCH effect.

Copyright

© 2024 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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TY  - CONF
AU  - Youjie Zhu
PY  - 2024
DA  - 2024/10/27
TI  - Study on the Price Spillover Effect between China Iron ore Futures Import Price and International Dry Bulk Freight and Crude Oil Market
BT  - Proceedings of the 2024 2nd International Conference on Finance, Trade and Business Management (FTBM 2024)
PB  - Atlantis Press
SP  - 113
EP  - 122
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-546-1_12
DO  - 10.2991/978-94-6463-546-1_12
ID  - Zhu2024
ER  -