Dissertations / Theses on the topic 'International price volatility'
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Acree, E. Bryan. "Volatility spillovers in international equity markets." Thesis, Georgia Institute of Technology, 1996. http://hdl.handle.net/1853/30969.
Full textSantana, Verônica de Fátima. "IFRS adoption, stock price synchronicity and volatility." Universidade de São Paulo, 2015. http://www.teses.usp.br/teses/disponiveis/12/12136/tde-30032015-143815/.
Full textEsta pesquisa buscou investigar se, e de que forma, a adoção dos International Financial Reporting Standards (IFRS) afetou a sincronicidade dos preços das ações no mercado de capitais brasileiro e como isso se refletiu no comportamento dos riscos idiossincrático e sistemático. Para tanto, foi feita uma análise de regressão associando o período de Transição (2008 e 2009) e o de Pós-Adoção (a partir de 2010) com uma medida de sincronicidade dos preços das ações, controlando por aspectos estruturais que afetam o funcionamento do mercado de capitais e por aspectos individuais das firmas que afetam a incorporação de informações em seus preços e seus incentivos para reportar demonstrações financeiras transparentes. Em seguida, foram construídas séries de volatilidade decompostas em dois componentes: o mercado em geral (capturando o risco sistemático) e específica da firma (capturando o risco idiossincrático), segundo a metodologia de Campbell et al. (2001), e foi feita uma análise baseada em testes para identificar tendências nessas séries. O estudo previa que se a adoção das IFRS foi capaz de aumentar a quantidade de informação específica das firmas incorporada nos preços das ações, então ela poderia (i) diminuir a sincronicidade (J. Kim & Shi, 2012), e a volatilidade idiossincrática teria se tornado mais intensa em relação à volatilidade sistemática; ou (ii) ela poderia aumentar a sincronicidade (Beuselinck et al., 2010; Dasgupta et al., 2010), e a volatilidade idiossincrática teria, então, se tornado menos intensa. Os resultados confirmaram que a sincronicidade diminuiu a partir do período de Pós-Adoção, em consonância com a visão de J. Kim & Shi (2012), de que o efeito redutor pode ser mais intenso para países menos desenvolvidos, que tendem a ter mercados mais sincronizados (Morck et al, 2000) e porque a melhora no ambiente informacional funciona como uma substituta para o ambiente institucional fraco. Esse resultado indica que os preços das ações se tornaram mais informativos (Durnev, Morck, & Yeung, 2004), tornando o mercado menos obscuro (K. Li et al., 2003) e melhor capaz de alocar recursos eficientemente (Wurgler, 2000; Habib, 2008). No entanto, apesar de uma análise visual das séries de volatilidade mostrar uma leve tendência crescente para a série do nível da firma, os testes estatísticos não puderam identificar qualquer tendência significativa, então, somente a primeira parte da hipótese pôde ser confirmada. Contudo, apesar dessa limitação e das possíveis ressalvas quanto aos modelos que foram usados, esta pesquisa fornece evidências de que a adoção das IFRS trouxe mudanças positivas para o funcionamento do mercado de capitais brasileiro.
Andrew, Daniel. "The Effect of Oil Market Developments on Price Volatility and U.S.-Saudi Relations." Scholarship @ Claremont, 2012. http://scholarship.claremont.edu/cmc_theses/351.
Full textMash, Richard. "The consequences of international trade price volatility for national income and welfare : theory and evidence." Thesis, University of Oxford, 1995. http://ora.ox.ac.uk/objects/uuid:24f115c7-bb18-4018-afbb-bc9322dde275.
Full textDa, Câmara Ricardo Manuel. "The price and volatility transmission of international financial crises to the South African equity market / Ricardo Manuel da Câmara." Thesis, North-West University, 2011. http://hdl.handle.net/10394/8481.
Full textThesis (M.Com. (Risk management))--North-West University, Potchefstroom Campus, 2012
Thorne, Terrill D. "Does the Relative Price of Non-Traded Goods Contribute to the Short-Term Volatility in the U.S./Canada Real Exchange Rate? A Stochastic Coefficient Estimation Approach." Thesis, Virginia Tech, 2002. http://hdl.handle.net/10919/31159.
Full textMaster of Arts
Hakim, Abdul. "Modelling the interactions across international stock, bond and foreign exchange markets." UWA Business School, 2009. http://theses.library.uwa.edu.au/adt-WU2009.0202.
Full textIvaschenko, Iryna. "Essays on corporate risk, U.S. business cycles, international spillovers of stock returns, and dual listing." Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics (EFI), 2003. http://www.hhs.se/efi/summary/625.htm.
Full textHaile, Mekbib Gebretsadik [Verfasser]. "Volatility of International Food Prices: Impacts on Resource Allocation and on Food Supply Response / Mekbib Gebretsadik Haile." Bonn : Universitäts- und Landesbibliothek Bonn, 2015. http://d-nb.info/1104367696/34.
Full textMumba, Mabvuto. "Analysis of volatility spillover effects between the South African, regional and world equity markets." Thesis, Rhodes University, 2011. http://hdl.handle.net/10962/d1002691.
Full textLi, Chih-Hung, and 李志鴻. "International Portfolio Choice Considering Oil Price Volatility." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/59208494462011097608.
Full text國立交通大學
經營管理研究所
95
This study uses the R2 to measure the volatility of stock market index affected by the volatility of the oil price and to be the basis of allocating portfolio weights. We examine the suitability of the concept when the oil price and stock markets are during raising and dropping period. Indices from 2000/10 to 2006/09 are selected to construct our portfolio, including Dow Jones, Nasdaq, S&P 500, NYSE, CAC40, TWSE, Straits Times, Seoul Composite, Nikkei 225 and Hang Seng Index. Our major findings are as follows: the prospect will not outperform equal weight in bear market because that there are many factors influence the stock mark at the same time. But it will outperform equal weight when the oil price and stock markets are during raising period. Another way infixing R2 into the M-V model results in violating the restriction of the M-V models, which the covariance matrix must be positive definite matrix, and then leads the performance of the portfolio to be worse eventually.
Chiu, Li-fang, and 邱莉芳. "Structural Changes in International Oil Price Volatility." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/19466868295494455815.
Full text南華大學
財務金融學系財務管理碩士班
98
Energy is an important and indispensable factor during the economic development. With the progress of human civilization, the natural resources will be gradually depleted. Since petroleum is belonged to the group of exhaustive resource, it can’t be regenerated after being consumed. Owning to this scarcity and importance, oil price changes attract lots of attention in the whole world. This paper tried to indentify the structural change of crude oil price volatility, which can help us to find the significant structural breaks for these conditional volatility series measured by GARCH and EGARCH models. The daily price of U.S. West Texas Intermediate is collected form EIA database and the data begin from January, 1990 and end in December, 2009. This paper also adopts the structural change model proposed by Bai and Perron (1998, 2003) to implement our empirical analysis. Our findings indicate that: first, oil return volatility is not a stable series during the sample period, and we can find some significant structural breaks. Second, form the empirical models, we find that the climate, financial crisis and political factors will change oil supply and demand which will have influence on oil return conditional volatility series.
Chen, Jaw-Dian, and 陳兆鈿. "The Relationship between the International Oil Price Volatility,the." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/12642501100277173903.
Full text國立東華大學
企業管理學系
99
This research is to study the relations between the four essential raw material price indices, the Composite Constuction Engineering Price Index, the Taiwan Constuction Engineering Index, and the Constuction Engineering-associated indices. The data are collected from the Directorate General of Budget, Accounting and Statistics, Executive Yuan s, R.O.C., and TEJ database. Using monthly data from January 1991 to January 2010 totaling 229 months, we examine the lead-lag relations between the peaks and the troughs of the selected indices during business cycles. Our evidence shows, first, that the Asphalts and Related Products Index is a leading indicator over expansions, while the Civil Engineering Index is a leading indicator over contractions. Second, the Constuction Engineering Stock Index is highly correlated with other seven indices over expansions, but the Sand & Crushed Stone Index and Metal Products Index are not. Third, the Pearson coefficient correlations are not obvious over both expansions and contractions of the business cycles. Finally, using our data, predicting the Constuction Engineering Stock Index of stock returns over expansions of the business cycles is better than over contractions of the business cycles.
Chen, ChunDa, and 陳君達. "Correlation in price changes and volatility of international stock markets." Thesis, 2000. http://ndltd.ncl.edu.tw/handle/04339774358274509912.
Full text淡江大學
財務金融學系
88
This paper seeks to investigate the short-run dynamics within four international stock markets (Taiwan, American, Japan, and Hong Kong). Unlike previous research on these markets, the joint distribution of stock returns is estimated as an exponential GARCH process. Our study is carried out using closing stock market prices covering the period from 1 Jan. 1996 to 31 Dec. 2000. The results revealed that these countries have significant time dependencies on first and second moment. In general, the markets of these countries exhibit stronger volatility than mean spillovers. In view of these dependencies, the conditional correlations between these markets are different from their conventional simple counterparts. Since the correlation is the catalyst in portfolio diversification and an essential parameter in the calculation of the cost of capital, we anticipate that international investors and corporate managers will find our results very interesting.
Haque, A. K. Iftekharul. "The Effects of Exchange Rate and Commodity Price Volatilities on Trade Volumes of Major Agricultural Commodities." Thesis, 2012. http://hdl.handle.net/10214/4036.
Full textCanadian Agricultural Trade Policy and Competitiveness Research Network (CATPRN)
Lu, Wei-chuang, and 盧威全. "The Impact of International Bulk Grain Futures Price Volatility on Price Index and Industry —An Application of Input-Output Model." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/44259062784562278727.
Full text朝陽科技大學
財務金融系碩士班
97
The rising food price from 2004 to 2008 causes the panic of contending food around the world. Professor G. Becker of the University of Chicago, who has won Nobel Prize, estimates that if the food price increases 1/3, the living standards of developed countries may go down 3%, and those of underde-veloped countries may go down 20%. The food self-sufficiency ratio of Taiwan is only 32% in 2007. The self-sufficiency ratio of wheat, corn and soybean are less than 2%. Therefore, the impact of the price of bulk grain on economy in Taiwan is worthy to be considered. By employing input-output analysis, the present study investigates the impact of international grain price volatility on the price index and industry in Taiwan. We empirically find that the first sector (including farming, forestry, fishing, husbandry and mining) and the second sector (including food and beverage and other related industries) suffer greater effect. Moreover, the price index in 2007 in Taiwan showed less impact on the price of bulk grain. In addition, the present study by the analysis of spillover effect finds that as the price of bulk grain grows 4 US dollars every bushel, it contributes to the magnitude of the induct amount of production to the whole industry is 2.09, that of the induct amount of rough add-value is 5.55, and that of the induct amount of the employee income is 8.81. Top ten industries under the impact of spillover effect occupy 63.25% of the total spillover effect. In the aspect of root cause analysis, the first, the second and the sixth sectors (related commercial industries) grow positively after Taiwan joined in WTO.
Sin-Ya, Chen, and 陳心雅. "The International Transmission of Stock Price Index and Return Volatility –Evidence From a GVAR Approach." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/zs39s9.
Full text國立臺北商業大學
財務金融研究所
103
Using a Global Vector Autoregressive (GVAR) analysis, this study examines the impacts of international stock market and global common factors on Taiwan stock markets. The sample covers the period from January 2001 to February 2015. Global common factors used in this study includes crude oil price, TED spread, VIX, U.S. Dollar Index and the U.S.Term Structure of Interest Rates. The results show that when the foreign stock index rose 1 percent, Taiwan stock index rose 0.70 percent. This suggests that Taiwan's stock market does not exist overreaction phenomenon. The U.S. and the Eurozone stock index have positive impacts on Taiwan stock index, wheareas China stock index show a negative impact on Taiwan stock index. Hence, China's surging stock market may draw more investors and new funds from Taiwan. On the other hand, crude oil price has a positive impact on the Taiwan stock index, but rising U.S. dollar index has a negative impact on Taiwan's stock return volatility. In addition, the TED spread has the greatest impact on the Taiwan stock index, while VIX index has the greatest impact on the Taiwan’ stock return volatility. This study sheds light on international transmission dynamics of stock price and return voalitliy and provides further insight into investment allocation decision and supervisory authority’s supervision.
Nelgen, Signe. "Distortions to agricultural markets : trends and fluctuations, 1955 to 2010." Thesis, 2012. http://hdl.handle.net/2440/78137.
Full textThesis (Ph.D.) -- University of Adelaide, School of Economics, 2012
Hu, Wei-Yu, and 胡惟喻. "The Transmission Effects of Price and Volatility Among Agricultural Markets:Three Essays on International Grain Futures Prices, Broiler Feed and Farm Prices in Taiwan." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/68014742311363674187.
Full text國立中興大學
應用經濟學系所
98
Abstract Countries around the world often face agricultural products price volatility problem. Agriculture products’ price level directly influences producers’ revenue, and agriculture products’ price volatility will further reveal price risks taken by producers throughout the production. The empirical result of this dissertation can be divided into three parts. The first part adopts BEKK-MGARCH model to analyze U.S. wheat, corns, and soybeans futures price and volatility transmission effect. Next, corns and soybeans are raw materials of domestic broiler’s forage. Therefore, the second part of this dissertation will adopt DCC-MGARCH model to analyze direct influence of U.S. corns and soybeans futures prices volatility on domestic broiler’s forage price. Also using the influential effect from indirect influence of domestic broiler’s forage price volatility on broiler’s farm price, this thesis will further analyze domestic broiler forage and farm price volatility transmission effect. Lastly, the third part of this dissertation also adopts BEKK-MGARCH model, and conducts price and volatility transmission effect analysis on domestic broiler’s farm price and chicken retailing price, chicken and pork’s retailing price, and pork retailing and hog’s farm price volatility, respectively. The estimated result of dissertation is as following: 1. Current period US wheat, corns, and soybeans futures price change’ are influenced by prior period self futures price change’s. And from different grains futures price change’s transmission effect, prior period futures price change’s of US wheat, corns, and soybeans would mutually influence current period futures price change’s. Next, US wheat, corns, and soybeans futures price change’s not only is influenced by self prior period price change’s, but also is influenced by crossing market different level’s prior period futures price change’s short-run shock. US wheat, corns, and soybeans futures price change’s volatility not only is influenced by self prior period futures price change’s volatility long-run persistence, but also is influenced by crossing market prior period futures price change’s volatility long-run persistence. 2. There are significant effects of previous broiler feed and farm prices on current price reactions. As for the interaction between broiler feed and farm price, there are significant effects of previous broiler feed price on current broiler farm price, and of previous broiler farm price on current broiler feed price. As for the price volatility analysis of broiler feed and farm price, the short-run shock and volatility long-run persistent effects of broiler feed farm price are significant. 3. In price transmission effect analysis, prior period hog’s farm (pork retailing), not only price are influenced by current period self price volatility, but also current period hog’s farm (pork retailing) price is deeply influenced by prior period pork retailing (hog’s farm) price. For price volatility short-run shock and long-run persistence transmission effect, current period hog’s farm and pork retailing price change’s volatility is influenced by prior period self-price change’s volatility short-run shock and long-run persistence effect; in crossing market price change’s volatility short-run shock and long-run persistence transmission effect, short-run shock and long-run persistence of current retailing price change’s volatility also reacts greater to prior period hog’s farm price change’s volatility.
Wang, Chih-Min, and 王志敏. "An Empirical Study on Volatility Interaction between Ship Price and Hire Rate in International Dry Bulk Market." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/65039907807778020043.
Full text國立高雄海洋科技大學
航運管理研究所
94
Recent infrastructure construction development in China has boosted strong demand on the volume of the sea trade and transportation, especially for the industrial raw materials delivered by bulk carrier market. After reviewing a number of forecasted modal concerning with variance between ship price and hire rate insisted by some scholars, and to used a new analysis model for bulk carrier market based on recent maritime economy data. The purpose of this paper is to provide the shipowner or the charterers to foresee the market dynamics by using appropriate analysis techniques and plan a suitable ship management strategy at the right time. The analysis methodology of this paper adopted Vector Auto-regression, Impulse response analysis and Variance decomposition approaches to test if any seasonal effect was exited in spot hire rate for the three standard type of dry bulk carrier, and exam if any interaction change was occurred in spot hire rate among them. Our finding can be summarized as: (1) The spot hire rate for capsize always played an leading role compared with other two types of bulk carrier vessel, and also its effect formed a specific direction of explaining price discovery for other two sizes of carrier;(2) The panamax and handymax spot hire rate can be highly explained by their owned past variance for short period, however the strength of effect disappeared very soon, and their variance of long period were also impacted by capsize spot hire rate;(3) No any relationship was exited between new build ship price and hire rate for capsize type ship;(4) The five years second-hand ship price impulse was responded by hire rate at short run, and impulse responded by new-build ship price at long run. In other words, it can be highly explained by the hire rate past variance in short term but the strength of effect disappeared rapidly, and their variance in long term were also impacted by new-build ship price.
Wu, Ya-Hsuan, and 巫亞璇. "Nonlinear Effect of the International Oil Price Volatility on the Stock Return of Petrochemical Industry in Taiwan." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/61253761008361527446.
Full text淡江大學
財務金融學系碩士班
103
This study uses panel smooth transition regression model to investigate whether international oil price volatility to stock return of Taiwan''s petrochemical industry exists panel smooth transition effect. Furthermore, this study measures and evaluates stock return by the influence of independent variables. The empirical results show that in plastic sector, investors are suggested to choose stocks with high quick ratio and high debit ratio on their company operating in every region. In textile sector, when oil price change rate is less than -10.8177%, between-10.4251% and -7.4394%, between -1.9706% and 1.0953%, and greater than 28.8158%, investors are suggested to choose stocks with high EPS on their company operating. When oil price change rate is between -10.8177% and -10.4251%, investors are suggested to choose stocks with low EPS on their company operating. When oil price change rate is between -7.4394% and -1.9706%, between 1.0953% and 13.9760%, between 14.1467% and 28.8158%, investors are suggested to choose stocks with high EPS on their company operating. When oil price change rate is between 13.9760% and 14.1467%, investors are suggested to choose stocks with low quick ratio on their company operating. In chemical sector, when oil price change rate is between -9.3388% and -8.9491%, investors are suggested to choose stocks with low quick ratio on their company operating. In rubber sector, when oil price change rate is less than 28.8061%, investors are suggested to choose stocks with high EPS on their company operating. When oil price change rate is greater than 28.8061%, investors are suggested to choose stocks with low debit ratio and high EPS on their company operating.
Chen, Chin-Shih, and 陳進士. "An Impact of the International Oil Price Volatility on the G7 Stock Reurns- An Application of GARCH Model." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/05538621587098066629.
Full text嶺東科技大學
財務金融研究所
95
ABSTRACT Since the rapid economical develepment of the BRICS, the increasing need of gasoline, which makes the oil price soar rapidly, has made "the economical impact of the high oil price era" becomes one of the most important subjects in the world. This study is with Box-Jenkins (1976)ARMA model and Bollerslev(1986) develops raises the Generalized ARCH model union GARCH model , Takes the research oil price volatitity rate and between Group of seven countries (G7) stock market return rate model construction, Uses for to explain the oil price volatitity rate has the influence to Group of seven countries (G7) stock market. The analysis of concrete evidences indicates that there is a negative effect in Germany DAX stock index during former oil price fluctuations rate, but positive effect in Canada Toronto stock index. Yet there is no effect in America, England, France, Italy and Japan. In the field of analysis about the impulse of oil price fluctuations in Group of seven countries (G7) stock market, concrete evidences appear that there still had half effect after 67 days of impulse of oil price fluctuations in Japan Tokyo stock market, and 62 days in Germany, 59 days in Italy, 5 days in America, 4 days in Canada. In addition, in England and France, because the value of model estimate parameters is 1, there is no judge of later effect, it is recommended to use the IGARCH model to suit it.
El-Khatib, Mayar. "Highway Development Decision-Making Under Uncertainty: Analysis, Critique and Advancement." Thesis, 2010. http://hdl.handle.net/10012/5741.
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