Time-Frequency Risk Connectedness in a China-Anchored Shipping–Finance–Commodity Nexus: Evidence from Major Global Stress Periods

This study examines time-frequency risk connectedness in a China-anchored shipping–finance–commodity nexus. We combine China’s equity, money, foreign exchange, spot commodity, and futures commodity indicators with dry bulk, tanker, and container shipping indices. A vector autoregression-based generalized forecast error variance decomposition with spectral connectedness is used to distinguish short- and long-horizon spillovers, while quantile Granger predictive tests and impulse response analysis are used as supplementary tools to examine macroeconomic predictive associations. Using weekly data from 2006 to 2023, the results showed pronounced time-frequency heterogeneity in cross-market spillovers. China’s financial submarkets were more closely associated with short-run spillover transmission, commodity markets served as an intermediate linkage channel, and shipping indices tended to receive more persistent long-horizon spillovers. Major stress periods were associated with changes in connectedness configurations, especially during COVID-19 and the Russia–Ukraine conflict. The supplementary macroeconomic analysis suggested that sentiment, expectations, industrial activity, investment cycles, and external trade conditions exhibit state-dependent predictive associations with spillover intensity. These findings provide evidence for horizon-specific risk monitoring in a China-anchored shipping–finance–commodity system.