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- W4386332994 abstract "The purposes of the research have evidenced the spillover effects of oil-related factors in the oil market and the leading indexes of petrochemical commodities and the bulk shipping markets. The research gap was fitted and explored the effects associated with leading indexes for the shipping and petrochemical markets on the oil market during the US-China trade war, which is seldom bridged with significant relations in the history of oil. The scope of data for the period from 4 January 2016, through 31 August 2022, were analyzed using a generalized autoregressive conditional heteroskedastic mixed data sampling model as methodology of mix frequency to examine volatility spillover of four research hypotheses from the bulk shipping and petrochemical markets to the oil market. Main contributions revealed that spillover from the bulk shipping and petrochemical commodity markets transmitted significant volatility to West Texas Intermediate (WTI) oil returns after the US-China trade war began, a trend that has continued throughout the COVID-19 era until Ukraine–Russia war. These rare events indicate that the realized volatility derived from these market variables can be used to track the more significant contagions on WTI futures volatility in this empirical research than the weak relation in past studies." @default.
- W4386332994 created "2023-09-01" @default.
- W4386332994 creator A5018530455 @default.
- W4386332994 date "2023-08-30" @default.
- W4386332994 modified "2023-09-27" @default.
- W4386332994 title "Volatility Contagion from Bulk Shipping and Petrochemical Industries to Oil Futures Market during the Economic Uncertainty" @default.
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- W4386332994 doi "https://doi.org/10.3390/math11173737" @default.
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