Spillover between the oil market and the freight market

Document Type : Original Article

Author
Kasra Pourkermani
Associate Professor, Department of Maritime Transport, Faculty of Economics and Management, Khorramshahr University of Marine Science and Technology, Khorramshahr, Iran.
10.22034/road.2025.548278.2430
Abstract
Advances in information technology have led to the impact of markets on each other, and given the tradability of freight rates, a proper understanding of market volatility and spillover is essential for freight rate traders. This paper examines the spillover of volatility between the oil market and the tanker and bulk freight market. This study is conducted using daily data. The results show that the tanker market has a higher volatility spillover and the bulk cargo market experiences less volatility. This indicates that the tanker market is more integrated than the bulk cargo market and the oil market. Oil price fluctuations contribute more to the volatility spillover to the tanker market. In periods of significant oil price decline and increased volatility in the oil market, oil prices are an important source of spillover volatility. In the bulk cargo freight market, the smaller the size of the ships, the greater the level of spillover volatility, and conversely, it will be lower in larger ships. During periods of regional wars, the spillover volatility intensifies
Keywords
spillover freight rates
volatility of freight rates
tanker
bulk carrier
ship
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