Study On The Dry Bulk Market Volatility Spillover Effects Based On Copula Model

From the2008financial crisis so far, the international shipping market has been in depression. Even the most mature dry bulk shipping market is also devastated. Many shipping companies have closed down. Therefore, how to reduce the loss by analyzing volatility spillovers shipping market during the economic downturn becomes an important issue.Different from previous studies, this article will analyze volatility spillovers in the dry bulk market from the vector angle. This article not only analyzed the direction of volatility spillover, but also can analyzed strength of volatility spillover based on Copula model. At the same time, due to the economic crisis such as extreme events, the shipping market will exhibit asymmetric market characteristics. Meanwhile Copula model can capture the correlation between the various types of ship market. Therefore, this article will research the effect of market volatility spillover of the dry bulk market based on Copula model.This article firstly analyzes the formation mechanism of market volatility spillovers and overview of Copula model. And then analyze the direction of volatility spillover using Granger causality test. Meanwhile analyze the intensity of volatility spillovers by Copula model. Finally, this article conducted volatility spillovers empirical analysis between dry bulk market using dry bulk transport market profit dates since2008as a sample. This article concluded that Capesize ship market volatility will affect Panama ship market and have fluctuations in intensity. Meanwhile the two ship market also showed significantly lower tail-related features.