Wierd shadow

Hi guys. I am building a map which consist of an island surrounded by water. The material being applied to the water is the default M_Water_Ocean from StarterContent>Materials folder. I am trying to light up the scene using DirectionalLight (as the sun) and also SkyLight to illuminate the area.

I noticed that there is a weird shadow casting onto the island and the water. However, that shadow will disappear when I turn SkyLight off.

with SkyLight turned on

with SkyLight turned off

Is there an explanation to this and how do I get rid of it? Thank you in advance for your advice.