Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China

The primary purpose of the paper is to analyze the conditional correlations, conditional covariances, and co-volatility spillovers between international crude oil and associated financial markets. The paper investigates co-volatility spillovers (namely, the delayed effect of a returns shock in one physical or financial asset on the subsequent volatility or co-volatility in another physical or financial asset) between the oil and financial markets. The oil industry has four major regions, namely North Sea, USA, Middle East, and South-East Asia. Associated with these regions are two major financial centers, namely UK and USA. For these reasons, the data to be used are the returns on alternative crude oil markets, returns on crude oil derivatives, specifically futures, and stock index returns in UK and USA. The paper will also analyze the Chinese financial markets, where the data are more recent. The empirical analysis will be based on the diagonal BEKK model, from which the conditional covariances will be used for testing co-volatility spillovers, and policy recommendations. Based on these results, dynamic hedging strategies will be suggested to analyze market fluctuations in crude oil prices and associated financial markets.

US Antidumping Petitions and Revealed Comparative Advantage of Shrimp Exporting Countries

The paper explores the trade competitiveness of seven major shrimp exporting countries, namely Vietnam, China, Thailand, Ecuador, India, Indonesia and Mexico, to the USA. Specifically, we investigate whether the United States (US) antidumping petitions impact upon the bilateral revealed comparative advantage (RCA) indexes for each of the seven shrimp exporting countries with the USA. Monthly data from January 2003 to December 2014 and the panel data model are used to examine the determinants of the RCA for the shrimp exporting countries. The empirical results show the shrimp exporting countries have superior competitiveness against the shrimp market in the USA. Moreover, the RCA indexes are significantly negatively influenced by shrimp prices, and are positively affected by US income per capita. However, the EMS (Early Mortality Syndrome) shrimp disease, domestic US shrimp quantity, exchange rate, and US antidumping laws are found to have no significant impacts on the RCA indexes. In terms of policy implications, the USA should try to reduce production costs of shrimp in the US market instead of imposing antidumping petitions, and the shrimp exporting countries should maintain their comparative advantage and diversify into new markets.