Risk spillovers and extreme risk between e-commerce and logistics markets in China

Liushuang Meng; Bin Wang; Liushuang Meng; Bin Wang

doi:10.3934/math.20241411

AIMS Mathematics

2024, Volume 9, Issue 10: 29076-29106. doi: 10.3934/math.20241411

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Risk spillovers and extreme risk between e-commerce and logistics markets in China

Liushuang Meng ¹,
Bin Wang ^{1,2
,
,}

1.
School of Mathematics and Statistics, Guilin University of Technology, Guilin, Guangxi 541004, China
2.
Guangxi Colleges and Universities Key Laboratory of Applied Statistics, Guilin, Guangxi 541004, China

Received: 27 June 2024 Revised: 15 September 2024 Accepted: 23 September 2024 Published: 14 October 2024
MSC : 62M10, 62P20, 91B84

We first utilized the Bayes positive diagonal BEKK generalized autoregressive conditional heteroskedasticity (Bayes-pdBEKK-GARCH) model to evaluate the risk spillovers between the e-commerce and logistics, then applied the adaptive Fourier decomposition method to measure the extent of these spillovers and detect structural changes. The results showed that there were structural breaks in both markets, which may lead to extreme risks. At last, we applied the GARCH-copula quantile regression model to analyze the extreme risks. We found that: (1) there were asymmetric volatility spillovers and positive correlations between them. (2) The dynamic risk spillovers exhibited heterogeneity over time. The logistics market had a smaller downside risk spillover, while the e-commerce market had a stronger upside risk spillover. (3) The study indicated that important events, such as the Chinese stock market crash, the Sino-U.S. trade friction, the COVID-19 epidemic, and the "either-or choice" monopoly policy of e-commerce platforms, had a significant influence on them, resulting in dramatic risk spillovers.
- e-commerce,
- logistics,
- risk spillover,
- Bayes-pdBEKK-GARCH model,
- adaptive Fourier decomposition,
- GARCH-copula quantile regression model
Citation: Liushuang Meng, Bin Wang. Risk spillovers and extreme risk between e-commerce and logistics markets in China[J]. AIMS Mathematics, 2024, 9(10): 29076-29106. doi: 10.3934/math.20241411

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Abstract

We first utilized the Bayes positive diagonal BEKK generalized autoregressive conditional heteroskedasticity (Bayes-pdBEKK-GARCH) model to evaluate the risk spillovers between the e-commerce and logistics, then applied the adaptive Fourier decomposition method to measure the extent of these spillovers and detect structural changes. The results showed that there were structural breaks in both markets, which may lead to extreme risks. At last, we applied the GARCH-copula quantile regression model to analyze the extreme risks. We found that: (1) there were asymmetric volatility spillovers and positive correlations between them. (2) The dynamic risk spillovers exhibited heterogeneity over time. The logistics market had a smaller downside risk spillover, while the e-commerce market had a stronger upside risk spillover. (3) The study indicated that important events, such as the Chinese stock market crash, the Sino-U.S. trade friction, the COVID-19 epidemic, and the "either-or choice" monopoly policy of e-commerce platforms, had a significant influence on them, resulting in dramatic risk spillovers.

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