TITLE:
Study on Globalization of Shipping Stocks Pricing Based on a DC-MSV Model
AUTHORS:
Yiping Yu
KEYWORDS:
Shipping Stock Pricing, DC-MSV, Time-Varying Correlation, Volatility Spillover Effect
JOURNAL NAME:
Modern Economy,
Vol.10 No.12,
December
27,
2019
ABSTRACT: DC-MSV and GC-MSV models are established to study
the dynamic correlation and risk spillover effects among domestic and foreign
shipping stocks price for the evaluation of pricing globalization. The
empirical analysis adopting MCMC algorithm shows that the dynamic correlations
rose between A stocks and their H counterparty index and shipping stocks, which
relate to the gradually opening up investment threshold. However, the dynamic
correlations did not go up between domestic shipping stocks and their oversea
counterparties. A shipping stocks’ price is Granger cause of their H stocks and
the forward risk spillover effects are stronger, which means shipping stocks
are mainly priced in domestic market. Further opening up will make China a
global shipping asset pricing center, following the global shipbuilding and
shipping center.