Dynamic relationships, investment performance, and hedging efficacy: Insights from marine shipping equities and major financial asset classes during black swan events

Amid the turbulent periods of the COVID-19 outbreak and the war in Ukraine, this study investigates the dynamic relationships, portfolio performance, and hedging effectiveness of marine equities in relation to key asset classes—namely commodities, stocks, foreign currencies, cryptocurrencies, and bonds. To achieve this, we employ a Time-Varying Parameter Vector Autoregressive (TVP-VAR) connectedness framework. The empirical results reveal a notable increase in average interconnectedness during both black swan events, with dynamic interdependencies peaking during the COVID-19 outbreak and remaining elevated throughout the Ukraine war. Furthermore, our findings indicate that the inclusion of marine equities enhances portfolio performance during the COVID-19 pandemic, although this benefit diminishes over the entire sample period, particularly during the Russia-Ukraine conflict. Our hedging analysis demonstrates that marine equities possess strong hedging capabilities. However, the bivariate portfolio analysis shows that pairing marine equities with crude oil futures, natural gas futures, or the Baltic Dry Index increases the cost of hedging against marine equity risks. Collectively, these findings support the strategic inclusion of marine equities alongside other asset classes, particularly during pandemics. Marine equities emerge as a resilient option for investors seeking to construct robust portfolios in response to health crises, though their effectiveness is less pronounced during periods of geopolitical or military conflict.