Oil price volatility and the logistics industry: Dynamic connectedness with portfolio implications

Maitra, Debasish; Rehman, Mobeen Ur; Dash, Saumya Ranjan; Kang, Sang Hoon

Abstract

This paper investigates the direction and extent of volatility connectedness between fluctuating oil prices and the stock returns of international transportation or logistics companies. The dynamic equicorrelation, and the spillover index are employed to identify the correlation and volatility transmission between oil prices and the stock returns of transportation or logistic companies. The total spillover showed a sharp jump during 2008–2009 that overlapped with the global financial crisis, followed by a global economic slowdown and an oil supply glut during 2015–2016. We also consider portfolio diversification strategies by following the tail risk for different periods, as delineated by the global financial crisis. Our findings have implications for investors, fund managers, and policymakers.

Citation

Maitra, D., Rehman, M. U., Dash, S. R., & Kang, S. H. (2021). Oil price volatility and the logistics industry: Dynamic connectedness with portfolio implications. Energy Economics, 102, Article 105499. https://doi.org/10.1016/j.eneco.2021.105499

• Journal Article Type: Article
• Acceptance Date: Jul 26, 2021
• Online Publication Date: Aug 6, 2021
• Publication Date: 2021-10
• Deposit Date: Jan 22, 2025
• Journal: Energy Economics
• Print ISSN: 0140-9883
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 102
• Article Number: 105499
• DOI: https://doi.org/10.1016/j.eneco.2021.105499
• Public URL: https://keele-repository.worktribe.com/output/1044353
• Publisher URL: https://www.sciencedirect.com/science/article/pii/S0140988321003844?via%3Dihub
• Additional Information: This article is maintained by: Elsevier; Article Title: Oil price volatility and the logistics industry: Dynamic connectedness with portfolio implications; Journal Title: Energy Economics; CrossRef DOI link to publisher maintained version: https://doi.org/10.1016/j.eneco.2021.105499; Content Type: article; Copyright: © 2021 Elsevier B.V. All rights reserved.