Selection of Variables: Shanghai Container Freight Index and 12 Market Factors

A 5.5 KB Excel file by Yanhui Chen, last updated in April 2026, explores the nonlinear dynamic interdependence between the Shanghai Containerized Freight Index (SCFI) and 12 factors from stock, commodity, carbon, and other markets. The analysis uses a data decomposition–reconstruction-based time-varying copula method to examine tail risk associations across short, medium, and long-term horizons.

Use Cases

• Modeling tail risk interdependence between shipping freight rates and other financial assets based on the described 12 market factors.
• Analyzing time-varying dependence structures across different timescales (short, medium, long-term) as mentioned in the research.
• Investigating the impact of extreme risk events on freight rate correlations, a key finding of the paper.
• Building risk management portfolios for stakeholders with varying financial attributes associated with the shipping industry.

Strengths

• Focuses on a specific and timely financial instrument: the Shanghai Containerized Freight Index (SCFI) futures launched in August 2023.
• Analyzes interdependencies with 12 distinct factors across multiple markets (stock, commodity, carbon).
• Explicitly examines relationships across three different timescales: short, medium, and long-term.

Limitations

• Row count and specific column definitions are unknown, requiring manual inspection after download.
• The dataset is very small (5.5 KB), suggesting it likely contains aggregated or summary variables rather than extensive raw time series.
• Description metadata is limited; actual data quality and granularity require verification.

Provenance

Source

Yanhui Chen, published on figshare.

Collection Method

Likely compiled for research analyzing the SCFI and 12 market factors using a time-varying copula method.

Time Range

The research context suggests data up to or around 2023, but the specific temporal coverage is not stated.

Freshness

Last updated 2026-04-21 17:52:30; freshness should be verified.

Geography

Primarily focuses on the Shanghai Containerized Freight Index, implying a strong connection to Chinese and global shipping markets.