We analyze the upside and downside risk connectedness among international stock markets. We characterize the connectedness among international stock returns using the Diebold and Yilmaz spillover index approach and compute the upside and downside value-at-risk. We document that the connectedness level of the downside risk is higher than that of the upside risk and that stock markets are more sensitive when the stock market declines. We also find that specific periods (e.g., the global financial crisis, the European debt crisis, and the COVID-19 turmoil) intensify the spillover effects across international stock markets. Our results demonstrate that the EU, Ger-many, and the US acted as net transmitters of dynamic connectedness; however, Japan (JP), China (CH), and India (IN) acted as net receivers of dynamic connectedness during the sample period. These findings provide significant new information to policymakers and market participants.

Changes in crude oil price affect the shipping freight market in three different channels. This study explores the dependence structure between oil prices and maritime freight rates to identify the strongest channel. Therefore, it investigates the relationship between oil prices and three major maritime freight rates; the Baltic Dry Index (BDI), the Baltic Dirty Tanker Index (BDTI), and the Baltic Clean Tanker Index (BCTI). We employ the decomposition method, not studied in the existing literature. The copula approach identifies the time-varying effects and asymmetry in the tail dependence structure between oil prices and freight rates. The main results of this analysis are as follows. The decomposed components display different conditional dependence patterns, and asymmetry is revealed in the upper and lower tail dependence. In the long run, we find more dependence in extreme periods like the financial crises. In short-run fluctuations, we find the dependence increases in an economic boom. The implications of the results suggest that dependence can vary over time and may change depending on extreme events, implying that the complementary strategies of the long run and short run should be different.