Interconnectedness among maritime companies, gold, and bitcoin markets: A TVP-VAR modeling and dynamic system-wise analysis

Abstract

This study investigates the interconnectedness among maritime companies, gold, and Bitcoin markets using daily data on realized returns covering the period from January 5, 2016, to September 7, 2023. This timeframe includes pre-pandemic, mid-pandemic, and wartime periods to capture nuanced trends in the analysis. We employ a Time-Varying Parameter Vector Autoregression (TVP-VAR) frequency connectedness approach proposed by Chatziantoniou et al. [1]. Our findings reveal evidence of interconnectedness, with the Total Connectedness Index (TCI) indicating relatively weak overall connections. Gold is identified as the primary receiver of shocks, while maritime companies, particularly RYL and GENCO, serve as significant transmitters. Incremental own connectedness analysis highlights RYL and GENCO as influential entities within the network. Furthermore, higher connectivity is observed during wartime, suggesting a shift in market dynamics. The analysis highlights the resilience of these assets to economic fluctuations and underscores the importance of geopolitical events in market dynamics, providing valuable insights for investors and policymakers in strategic decision-making.