Comparison of Price Fluctuation Among Domestic and Oversea Oil Shipping Stocks Based on DC-MSV Model

Abstract:

Dynamic correlation multivariate stochastic volatility(DC-MSV) model was adopted to study the dynamic correlation and risk spillover effects among domestic and oversea oil shipping stock prices, freight rate and stock price index. The empirical analysis shows that there are high positive correlations between oil shipping stock price and freight rate, as well as stock price index, both in domestic and oversea markets. The freight rate and the stock price index have the equal influence on the domestic oil shipping stock price, while the US counterparties are mainly affected by the freight rate. However, the index’s impact on the price of domestic oil shipping stocks has declined since 2013. The index’s impact increases significantly while the stock index fluctuates dramatically. Both the freight rate and the Shanghai Composite Index should be tracked when investing in domestic shipping stocks, while only freight rate needs to focus when investing in US counterparties.

Key words:price of oil shipping stocks; price fluctuation; dynamic correlation multivariate stochastic volatility(DC-MSV) model; dynamic correlation; volatility spillover effect