Table 1.
Model comparison.
Fig 1.
Time series behavior among freight contract, Brent crude oil and iron ore future market.
Note: All time series are drawn from original series. SV represents the spot voyage freight market and ST represents spot time charter freight market. BRENT, IRON, SV2, SV3, SV5, SV7, SV17, SV8, ST9, ST10, ST14 and ST16 have individual market definition as illustrated in Table 1.
Table 2.
Descriptive and correlation statistics.
Table 3.
Description of variables.
Table 4.
Time-frequency average spillover connectedness along spot time charter route.
Table 5.
Time-frequency average spillover connectedness along spot voyage route.
Fig 2.
Dynamic time-frequency overall spillover connectedness within spot time charter market.
Note: Horizontal axis represents the time dimension and vertical axis represents the intensity of the spillover effect (%). Results are based on TVP-VAR method with lag length 2 (AIC), 20-step-ahead generalized forecast error variance decomposition and a window size of 200.
Fig 3.
Dynamic time-frequency net spillover connectedness within spot time charter market (Net).
Note: Horizontal axis represents the time dimension and vertical axis represents the intensity of the spillover effect (%). Results are based on TVP-VAR method with lag length 2 (AIC), 20-step-ahead generalized forecast error variance decomposition and a window size of 200.
Fig 4.
Dynamic time-frequency overall spillover connectedness within spot voyage market (Net).
Note: Horizontal axis represents the time dimension and vertical axis represents the intensity of the spillover effect (%). Results are based on TVP-VAR method with lag length 2 (AIC), 20-step-ahead generalized forecast error variance decomposition and a window size of 200.
Fig 5.
Dynamic time-frequency net spillover connectedness within spot voyage market (Net).
Note: Horizontal axis represents the time dimension and vertical axis represents the intensity of the spillover effect (%). Results are based on TVP-VAR method with lag length 3 (AIC), 20-step-ahead generalized forecast error variance decomposition and a window size of 200.
Table 6.
Robustness for spot time charter market.
Table 7.
Robustness for spot voyage freight market.