期刊名称：International Journal of Academic Research in Business and Social Sciences
电子版ISSN：2222-6990
出版年度：2019
卷号：9
期号：1
页码：526-536
DOI：10.6007/IJARBSS/v9-i1/5427
语种：English
出版社：Human Resource Management Academic Research Society
摘要：With the increased globalization the stock markets are integrated more than ever. Increased correlations among assets at global level have severe implications for the economies and industries specifically after the 2008 financial crisis. Following the crisis, another surge in oil price coupled with lower global demand has severely hit marine shipping industry. Therefore, we investigate the return spillovers from oil to the biggest tanker shipping companies of the world i.e. Frontline and Stolt Nielsen listed at Oslo Stock Exchange. We employed VAR DCC-GARCH and found a higher correlation among tanker companies than with the oil. Not surprisingly, the return spillovers from oil increased manifold soon after the financial crisis. The same increased level of correlation was observed for the tanker firms also following crisis period.
