Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/141252| DC Field | Value | Language |
|---|---|---|
| dc.contributor.advisor | 林靖<br>蕭明福 | zh_TW |
| dc.contributor.advisor | Lin, Jin<br>Shaw, Ming-Fu | en_US |
| dc.contributor.author | 許家睿 | zh_TW |
| dc.contributor.author | Hsu, Chia-Jui | en_US |
| dc.creator | 許家睿 | zh_TW |
| dc.creator | Hsu, Chia-Jui | en_US |
| dc.date | 2022 | en_US |
| dc.date.accessioned | 2022-08-01T10:28:26Z | - |
| dc.date.available | 2022-08-01T10:28:26Z | - |
| dc.date.issued | 2022-08-01T10:28:26Z | - |
| dc.identifier | G0109258028 | en_US |
| dc.identifier.uri | http://nccur.lib.nccu.edu.tw/handle/140.119/141252 | - |
| dc.description | 碩士 | zh_TW |
| dc.description | 國立政治大學 | zh_TW |
| dc.description | 經濟學系 | zh_TW |
| dc.description | 109258028 | zh_TW |
| dc.description.abstract | 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。 | zh_TW |
| dc.description.tableofcontents | 第一章 緒論 .............. 5\n第一節 研究動機 ............................ 5\n第二節 研究目的 ........................... 7\n第三節 研究架構 ................................ 8\n第四節 研究限制 ................................ 9\n第二章 文獻回顧 .................................... 10\n第一節 航運金融文獻 ................... 10\n第二節 能源金融文獻 ................. 12\n第三節 金融傳導文獻 ...................... 14\n第四節 GARCH-MIDAS 文獻 ........... 18\n第三章 研究設計 ........................ 21\n第一節 變數定義與衡量 ............. 21\n第二節 研究方法 ..................... 26\n第三節 實證流程 .......... 28\n第四節 研究假說與模型代號設定 ..................... 29\n第四章 實證結果............... 31\n第一節 資料描述 ............ 31\n第二節 敘述性統計.......... 45\n第三節 單根檢定.................... 47\n第四節 GARCH-MIDAS 實證結果 ...... 48\n第五章 結論 .............................. 69\n第一節 研究成果與發現 ............. 69\n第二節 經濟意涵、研究突破與建議 ............... 72\n參考文獻 .......................... 74 | zh_TW |
| dc.format.extent | 2191378 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.source.uri | http://thesis.lib.nccu.edu.tw/record/#G0109258028 | en_US |
| dc.subject | 波動外溢 | zh_TW |
| dc.subject | 跨市場 | zh_TW |
| dc.subject | 原油 | zh_TW |
| dc.subject | 航運金融 | zh_TW |
| dc.subject | 農產品 | zh_TW |
| dc.subject | 原物料市場 | zh_TW |
| dc.subject | 西德州原油 | zh_TW |
| dc.subject | 匯率市場 | zh_TW |
| dc.subject | 集裝箱指數 | zh_TW |
| dc.subject | 蘇伊士運河 | zh_TW |
| dc.subject | GARCH-MIDAS | en_US |
| dc.title | 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 | zh_TW |
| dc.title | The Spillover Effect of Cross-market Indicators on International Liner Shipping Companies - Case of the Suez Canal Port Blockage | en_US |
| dc.type | thesis | en_US |
| dc.relation.reference | 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. Arouri, M.E.H., Lahiani, A., Nguyen, D.K., (2011b). Return and volatility transmission be- tween world oil prices and stock markets of the GCC countries. Econ. Model. 28 (4), 1815–1825.\n4. Arouri, M.E.H., Jouini, J., Nguyen, D.K., (2012). On the impacts of oil price fluctuations on European equity markets: volatility spillover and hedging effectiveness. Energy Econ. 34, 611–617.\n5. Antonakakis, N., Cunado, J., Filis, G., Gabauer, D., De Gracia, F.P., (2018). Oil futures volatility, oil futures and gas firms and portfolio diversification. Energy Econ. 70, 499–515.\n6. Acemoglu, D., Carvalho, V.M., Ozdaglar, A., Tahbaz-Salehi, A., (2012). The network ori- gins of aggregate fluctuations. Econometrica 80 (5), 1977–2016.\n7. Antonakakis, N., & Kizys, R. (2015). Dynamic spillovers between commodity and currency markets. International Review of Financial Analysis, 41, 303-319.\n8. Alizadeh, A. H., Kappou, K., Tsouknidis, D., & Visvikis, I. (2015). Liquidity effects and FFA returns in the international shipping derivatives market.\n9. Açık, A., Kasapoğlu, E. B., & Ayaz, İ. S. (2021). Information flow between revenue and stock exchanges: An empirical research on liner shipping companies. Journal of Sustainable Development of Transport and Logistics, 6(1), 81-89.\n10. Alizadeh, A.H., Nomikos, N.K., (2004). Cost of carry, causality and arbitrage between oil futures and tanker freight markets. Transp. Res. Part E: Logist. Transp. Rev. 40 (4), 297–316.\n11. Abdullahi D. Ahmed, Rui Huo (2021). Volatility transmissions across international oil market, commodity futures and stock markets: Empirical evidence from China.\n12. Batchelor, R., Alizadeh, A., Visvikis, I., (2007). Forecasting spot and forward prices in the international freight market. Int. J. Forecast. 23 (1), 101–114.\n13. Bildirici (2015). Services Exports and Economic Growth in Sri Lanka: Does the Export-Led Growth Hypothesis Hold for Services Exports ?\n14. Bastianin, A., Conti, F., Manera, M., (2016). The impacts of oil price shocks on stock market volatility: evidence from the G7 countries. Energy Policy 98, 160–169.\n15. Beverelli, C., Benamara, H., Asariotis, R., (2010). Oil prices and maritime freight rates: An empirical investigation. United Nations Conference on Trade and Development (UNCTAD/DTL/TLB/2009/2).\n16. Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of econometrics, 31(3), 307-327.\n17. Besma Hamdi, Mouna Aloui, Faisal Alqahtani, Aviral Tiwari (2019). Relationship between the oil price volatility and sectoral stock markets in oil-exporting economies: Evidence from wavelet nonlinear denoised based quantile and Granger-causality analysis.\n18. Biao Zheng, Yuquan W. Zhang, Fang Qu Yong Geng,Haishan Yu (2022). Do rare earths drive volatility spillover in crude oil, renewable energy, and high-technology markets ? - A wavelet-based BEKK- GARCH-X approach.\n19. Bing Xu, Rong Fu, Chi Keung Marco Lau (2021). Energy market uncertainty and the impact on the crude oil prices.\n20. Bana Abuzayed and Nedal Al-Fayoumi (2021). Risk spillover from crude oil prices to GCC stock market returns: New evidence during the COVID-19 outbreak.\n21. Chen, S.-S., (2010). Do higher oil prices push the stock market into bear territory? Energy Econ. 32, 490–495.\n22. Cong, R.-G., Wei, Y.-M., Jiao, J.-L., Fan, Y., (2008). Relationships between oil price shocks and stock market: an empirical analysis from China. Energy Policy 36 (9), 3544–3553.\n23. Conrad, C., Loch, K., Rittler, D., (2014). On the macroeconomic determinants of long-term volatilities and correlations in US stock and crude oil markets. J. Empir. Finance 29,26–40.\n24. Ding, Z., Liu, Z., Zhang, Y., Long, R., (2017). The contagion effect of international crude oil price fluctuations on Chinese stock market investor sentiment. Appl. Energy 187, 27–36.\n25. Du, L., He, Y., (2015). Extreme risk spillovers between crude oil and stock markets. Energy Econ. 51, 455–465.\n26. Dorion, C. (2016). Option valuation with macro-finance variables. Journal of Financial and Quantitative Analysis, 51, 1359–1389.\n27. Debasish Maitra, Saurabh Chandra, Saumya Ranjan Dash (2020). Liner shipping industry and oil price volatility: Dynamic connectedness and portfolio diversification.\n28. Danyan Wen, Yudong Wang, Chaoqun Ma, Yaojie Zhang (2020). Information transmission between gold and financial assets: Mean, volatility, or risk spillovers ?\n29. Drobetz, W., Schilling, D., Tegtmeier, L., (2010). Common risk factors in the returns of shipping stocks. Maritime Policy Manage. 37 (2), 93–120.\n30. El-Masry, A.A., Olugbode, M., Pointon, J., (2010b). The exposure of shipping firms’ stock returns to financial risks and oil prices: a global perspective. Maritime Policy Manage. 37 (5), 453–473.\n31. Eric Ghysels (2019). Mixed data sampling (MIDAS) regression models.\n32. Engle, R. F., Ghysels, E., & Sohn, B. (2013). Stock market volatility and macroeconomic fundamentals. Review of Economics and Statistics,95, 776–797.\n33. Elder, J., Serletis, A., (2010). Oil price uncertainty. J. Money Credit Bank. 42 (6), 1137–1159.\n34. Erdal Atukeren, Emrah İsmail Çevik, Turhan Korkmaz (2021). Volatility spillovers between WTI and Brent spot crude oil prices: an analysis of granger causality in variance patterns over time.\n35. Fayyad, A., Daly, K., (2011). The impact of oil price shocks on stock market returns: compar- ing GCC countries with the UK and USA. Emerg. Mark. Rev. 12 (1), 61–78.\n36. Fenghua Wen, Minzhi Zhang, Jihong Xiao, Wei Yue (2022). The impact of oil price shocks on the risk-return relation in the Chinese stock market.\n37. Grahama (2016). Global economic activity as an explicator of emerging market equity returns.\n38. Gusanu, A., Merika, A. A., and Triantafyllou, A. (2012). Is There a Lead-lag Relationship between Freight Rates and Stock Returns in the Drybulk Shipping Industry. Unpublished Manuscript, 1-34.\n39. Glosten, Jagannathan and Runkel (1989). On the relation between the expected value and the volatility of the nominal excess return on stocks.\n40. Ghysels (2007). MIDAS regressions: Further results and new directions.\n41. Henriques, I., Sadorsky, P., (2008). Oil prices and the stock prices of alternative energy com- panies. Energy Econ. 30, 998–1010.\n42. Huang, R.D., Masulis, R.W., Stoll, H.R., (1996). Energy shocks and financial markets. J. Futur. Mark. 16 (1), 1–27.\n43. Hoover, K.D., Perez, S.J., (1994). Post hoc ergo propter once more an evaluation of ‘does monetary policy matter?’in the spirit of James Tobin. J. Monetary Econ. 34 (1), 47–74.\n44. Hamilton, J.D., Herrera, A.M., (2004). Comment: oil shocks and aggregate macroeconomic behavior: the role of monetary policy. J. Money Credit Bank. 36 (2), 265–286.\n45. Jones, C.M., Kaul, G., (1996). Oil and the stock markets. J. Financ. 51 (2), 463–491.\n46. Jin, X., Lin, S. X., & Tamvakis, M. (2012). Volatility transmission and volatility impulse response functions in crude oil markets. Energy Economics, 34(6), 2125-2134.\n47. Jialin Yang, Ying-En Ge, Kevin X.Li (2022). Measuring volatility spillover effects in dry bulk shipping market.\n48. Jingyu Li, Ranran Liu, Yanzhen Yao, Qiwei Xie (2022). Time-frequency volatility spillovers across the international crude oil market and Chinese major energy futures markets: Evidence from COVID-19.\n49. Killian, L., (2009). Not all oil price shocks are alike: disentangling demand and supply shocks in the crude oil market. Am. Econ. Rev. 99 (3), 1053–1069.\n50. Kang, S.H., McIver, R., Yoon, S.-M., (2017). Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets. Energy Econ. 62, 19–32.\n51. Kavussanos, M. G., Visvikis, I. D., & Dimitrakopoulos, D. N. (2014). Economic spillovers between related derivatives markets: The case of commodity and freight markets. Transportation Research Part E: Logistics and Transportation Review, 68, 79-102.\n52. Kilian, L., (2009). Not all oil price shocks are alike: Disentangling demand and supply shocks in the crude oil market. Am. Econ. Rev. 99 (3), 1053–1069.\n53. Kilian, L., Lee, T.K., (2014). Quantifying the speculative component in the real price of oil: The role of global oil inventories. J. Int. Money Fin. 42, 71–87.\n54. Kilian, L., Park, C., (2009). The impact of oil price shocks on the US stock market. Int. Econ. Rev. 50 (4), 1267–1287.\n55. Kristjanpoller, W.D., Concha, D., (2016). Impact of fuel price fluctuations on airline stock returns. Appl. Energy 178, 496–504.\n56. Kutin, N., Moussa, Z., Vallée, T., (2018). Factors behind the freight rates in the liner shipping industry.\n57. Konstantinos D.Melas and Nektarios A.Michail (2021). The relationship between commodity prices and freight rates in the dry bulk shipping segment: A threshold regression approach.\n58. Liu, T., Woo, W.T. (2018). Understanding the U.S.-China trade war. China Econ. J. 11 (3), 319–340.\n59. Li, K.X., Qi, G., Shi, W., Yang, Z., Bang, H.S., Woo, S.H., Yip, T.L., (2014). Spillover effects and dynamic correlations between spot and forward tanker freight markets. Marit. Pol. Manage. 41 (7), 683–696.\n60. Lin, A.J., Chang, H.Y., Hsiao, J.L., (2019). Does the Baltic Dry Index drive volatility spillovers in the commodities, currency, or stock markets? Transp. Res. Part E 127, 265–283.\n61. Lee, B.J., Yang, C.W., Huang, B.N., (2012). Oil price movements and stock markets revisited: a case of sector stock price indexes in the G-7 countries. Energy Econ. 34, 1284–1300.\n62. Lin, A.J., Chang, H.Y., Hsiao, J.L., (2019). Does the Baltic Dry Index drive volatility spillovers in the commodities, currency, or stock markets? Transp. Res. Part E 127, 265–283.\n63. Lopez, R., (2014). Volatility contagion across commodity, equity, foreign exchange and treasury bond markets. Appl. Econ. Lett. 21 (709), 646–650.\n64. Lundgren, N.G., (1996). Bulk trade and maritime transport costs: The evolution of global markets. Resour. Policy 22 (1–2), 5–32.\n65. Maghyereh, A.I., Awartani, B., Tziogkidis, P., (2017). Volatility spillovers and cross-hedging between gold, oil and equities: evidence from the Gulf cooperation council countries. Energy Econ. 68, 440–453.\n66. Miller, J.I., Ratti, R.A., (2009). Crude oil and stock markets: stability, instability, and bubbles. Energy Econ. 31 (4), 559–568.\n67. Mensi, W., Beljid, M., Boubaker, Al, Managi, S., (2013). Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold.Econ. Model. 32, 15–22.\n68. Mo, E., Gupta, R., Li, B., Singh, T., (2017). The macroeconomic determinants of commodity futures volatility: Evidence from Chinese and Indian markets. Econ. Model.70, 543–560.\n69. Narayan, P.K., Sharma, S.S., (2011). New evidence on oil price and firm returns. J. Bank. Finance 35 (12), 3253–3262.\n70. Nelson (1991). Close relationships as including other in the self.\n71. Nektarios A.Michail and Kostis D.Melas (2021). Market interactions between agricultural commodities and the dry bulk shipping market.\n72. Papapostolou, N.C., Pouliasis, P.K., Nomikos, N.K., Kyriakou, I. (2016). Shipping investor sentiment and international stock return predictability. Transp. Res. Part E 96, 81–94.\n73. Park, J., Ratti, R.A., (2008). Oil price shocks and stock markets in the us and 13 european countries. Energy Econ. 30 (5), 2587–2608.\n74. Pengfei Zhu, Yong Tang, Yu Wei, Tuantuan Lua (2021). Multidimensional risk spillovers among crude oil, the US and Chinese stock markets: Evidence during the COVID-19 epidemic.\n75. Qiu, L.D., Zhan, C., Wei, X. (2019). An analysis of the China-US trade war through the lens of the trade literature. Econ. Polit. Stud. 7 (2), 148–168.\n76. Qiwei Xie, Ranran Liu, Tao Qian, Jingyu Lia (2021). Linkages between the international crude oil market and the Chinese stock market: A BEKK-GARCH-AFD approach.\n77. Stopford, M. (2009). Maritime Economics, third ed.\n78. Sadorsky, P., (2009). Renewable energy consumption, CO2 emissions and oil prices in the G7 countries. Energy Econ. 31 (3), 456–462.\n79. Sun, X., Liu, H., Zheng, S., Chen, S., (2018). Combination hedging strategies for crude oil and dry bulk freight rates on the impacts of dynamic cross-market interaction. Maritime Policy Manage. 45 (2), 174–196.\n80. Saiful Izzuan Hussain, R.Nur-Firyal, Nadiah Ruza (2021). Linkage transitions between oil and the stock markets of countries with the highest COVID-19 cases.\n81. Shieh, C. H. (2021). Dynamic Common Correlated Effect of COVID-19 and Stock Return: Evidence from Container Ship Industry. International Journal of Business and Economics, 6(2), 104-122.\n82. Sufang An, Xiangyun Gao, Haizhong An, Feng An, Qingru Sun, Siyao Liu (2020). Windowed volatility spillover effects among crude oil prices.\n83. Shaen Corbet, John W. Goodell, Samet Günay (2020). Co-movements and spillovers of oil and renewable firms under extreme conditions: New evidence from negative WTI prices during COVID-19.\n84. Shaen Corbet, Yang (Greg) Hou, Yang Hu, Les Oxley (2021). Volatility spillovers during market supply shocks: The case of negative oil prices.\n85. Wang, Y., Wu, C., Yang, L., (2013). Oil price shocks and stock market activities: evidence from oil-importing and oil-exporting countries. J. Comp. Econ. 41, 1220–1239.\n86. Wan, J.Y., Kao, C.W., (2015). Interactions between oil and financial markets-Do conditions of financial stress matter? Energy Econ. 52, 160–175.\n87. Xu Gong, Yun Liu, Xiong Wang (2021). Dynamic volatility spillovers across oil and natural gas futures markets based on a time-varying spillover method.\n88. Xiwen Bai and Jasmine Siu Lee Lam (2021). Freight rate co-movement and risk spillovers in the product tanker shipping market: A copula analysis.\n89. Yuting Gong, Kevin X. Li, Shu-Ling Chen, Wenming Shi (2020). Contagion risk between the shipping freight and stock markets: Evidence from the recent US-China trade war.\n90. Yan Chen, Gaoxiu Qiao, Feipeng Zhang (2022). Oil price volatility forecasting: Threshold effect from stock market volatility.\n91. Zhiyuan Pan (2017). Oil price volatility and macroeconomic fundamentals: A regime switching GARCH-MIDAS model. | zh_TW |
| dc.identifier.doi | 10.6814/NCCU202200551 | en_US |
| item.fulltext | With Fulltext | - |
| item.grantfulltext | embargo_20250620 | - |
| item.cerifentitytype | Publications | - |
| item.openairetype | thesis | - |
| item.openairecristype | http://purl.org/coar/resource_type/c_46ec | - |
| Appears in Collections: | 學位論文 | |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 802801.pdf | 2.14 MB | Adobe PDF2 | View/Open |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.