Abstract: The tanker shipping market is a critical extension of the international oil market, with its uncertainties closely tied to the volatility of oil market prices. This study calibrates the tanker shipping market from a micro-route perspective, situating the crude oil market, tanker shipping market, and oil stock market within the same theoretical framework. Utilizing the GARCH-Copula-CoVaR model, we delineate the risk contagion pathways and underlying transmission mechanisms across these markets, unveiling the complex dependency structures and bidirectional risk spillover effects between WTI prices, oil company stock prices, and freight rates of major global tanker routes. Our findings offer insights into mitigating highly integrated market risks and provide theoretical references for understanding and halting cross-market risk diffusion. The results indicate that: (1) the upward risk spillover from WTI to routes is greater than that from routes to WTI, with longer routes experiencing higher upward risk spillover from WTI; (2) the downward risk spillover from WTI to routes is associated with ship type, with larger deadweight tonnage ships experiencing stronger spillover effects; (3) oil companies exhibit significant bidirectional risk contagion to tanker routes, with the greatest downward risk spillover to route TD6; (4) smaller deadweight tonnage corresponds to weaker downward risk spillover from oil companies to routes, with noticeable downward risk spillover from oil companies to routes TD1, TD15, and TD6 characterized by larger deadweight tonnage.

Key words: tanker freight rates, tanker routes, oil company, risk contagion, CoVaR