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https://ah.lib.nccu.edu.tw/handle/140.119/141252| 題名: | 跨市場指標對國際班輪運輸公司之波動外溢效果-蘇伊士運河塞港事件為例 The Spillover Effect of Cross-market Indicators on International Liner Shipping Companies - Case of the Suez Canal Port Blockage |
作者: | 許家睿 Hsu, Chia-Jui |
貢獻者: | 林靖<br>蕭明福 Lin, Jin<br>Shaw, Ming-Fu 許家睿 Hsu, Chia-Jui |
關鍵詞: | 波動外溢 跨市場 原油 航運金融 農產品 原物料市場 西德州原油 匯率市場 集裝箱指數 蘇伊士運河 GARCH-MIDAS |
日期: | 2022 | 上傳時間: | 1-Aug-2022 | 摘要: | 過去的航運市場表現相當穩定，不論是股票市場或是營運的營收方面都是非常平穩且沒有較大的波動存在，故過去相關研究少之又少，直到2020年疫情大規模的在全球爆發，航運市場開始出現過去從沒見過的蓬勃發展，從能源市場的變化像是石油價格的波動到勞動市場由於疫情因素使各大碼頭面臨缺乏工作人員被迫停工，種種因素開始導致讓航運市場產生波動，隨之帶動相關的股票市場，讓大家開始關注到各家航運公司，進一步開始研究航運市場相關議題。\n我們會發現影響航運市場的原因不單單航運公司本身的因素而已，是跨市場的因素所引發，包含了像是能源市場、原物料市場、匯率市場等，每個市場的波動似乎都深深的影響到了航運市場，本研究主要透過 GARCH-MIDAS 模型來探討跨市場之航運金融傳導變數波動如何外溢到航運市場，而航運市場接收此外溢效果的程度如何，並且考慮了航運市場在2021年發生的重大突發事件蘇伊士運河塞港，來探討此事件對於市場間的波動外溢是否有足夠的影響力。\n本篇研究針對不同的資料頻率來做分析探討，故在資料的選取上我們使用了過去較少使用的小時頻率的資料，如此更能準確的掌握資料的趨勢變化，加上本研究運用個別的國際航運公司，能針對不同公司性質與特色作出分析，有別於過去用相關指數去代表整體航運市場的發展，這是本篇研究所做出的突破。 | 參考文獻: | 1. Alizadeh, A.H., Muradoglu, G., (2014). Stock market efficiency and international shipping-market information. J. Int. Financ. Market. Instit. Money 33, 445–461.\n2. Arouri, M.E.H., Jouini, J., Nguyen, D.K., (2011a). Volatility spillovers between oil prices and stock sector returns: implications for portfolio management. J. Int. Money Financ. 30 (7), 1387–1405.\n3. 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資料來源: | http://thesis.lib.nccu.edu.tw/record/#G0109258028 | 資料類型: | thesis |
| Appears in Collections: | 學位論文 |
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