Dissertations / Theses on the topic 'International price volatility'

This research aimed to investigate whether and how the adoption of the International Financial Reporting Standards (IFRS) has affected the synchronicity of stock prices in the Brazilian capital market and how this was reflected in the behavior of idiosyncratic and systematic risk. In order to do so, it was first conducted a regression analysis associating the Transition (2008 and 2009) and the Post-Adoption (from 2010) period with a measure of stock price synchronicity, controlling for structural aspects that affect the functioning of stock markets as a whole and for aspects of individual firms that affect the process of incorporating information into their stock prices and their incentives to report transparent financial statements. Then, it was built series of volatility decomposed into two components, market-wide (capturing the systematic risk) and firm-specific (capturing the idiosyncratic risk), according to the methodology of Campbell et al. (2001), and performed an analysis based on tests for identifying trends on the series. The study predicted that if IFRS was able to increase the amount of firm-specific information incorporated into stock prices, it could (i) reduce synchronicity (J. Kim & Shi, 2012), and idiosyncratic volatility would have become more intense relatively to systematic volatility; or (ii) it could increase synchronicity (Beuselinck et al., 2010; Dasgupta et al., 2010), and idiosyncratic volatility would, then, have become less intense. The results confirmed that stock price synchronicity has decreased from the Post-Adoption period, in line with the view of J. Kim & Shi (2012), that the reducing effect can be more intense for less developed countries, which tend to be more synchronous (Morck et al, 2000) and because the improvement in the informational environment acts as a substitute to the weak institutional environment. These results indicate that stock prices became more informative (Durnev, Morck, & Yeung, 2004), making the market less obscure (K. Li et al., 2003) and better able to efficiently allocate resources (Wurgler, 2000; Habib, 2008). However, although a visual analysis of the volatility series suggests a slightly upward trend for the firm-level series, the statistical tests were not able to identify any significant trend, so, only the first part of the hypothesis could be confirmed. Nevertheless, despite of this limitation and the possible caveats with the models that were used, this research provides evidence that IFRS adoption brought positive changes to the functioning of the Brazilian capital market.
Esta 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.

Since the early 1970s, the U.S. government has relied on Saudi Arabia to ensure price stability in the oil market--a foreign policy that is both dangerous and hypocritical. Yet recent market developments, including increasing sources of unconventional supply in the Western Hemisphere and better energy efficiency worldwide, are calling the effectiveness of that reliance into question. Whereas unconditional support for the Saudi regime had previously been the only option for the U.S. government, U.S. foreign policymakers may now be able to hedge their risky relationship with the Saudis through a variety of other options.

The thesis considers the effect of world trade or commodity price volatility on small open economies. It extends the existing literature by including non-tradeable goods and many volatile prices in the model together with consideration of the welfare effects of participation in international risk or capital markets. In addition the thesis systematically addresses the implications of price volatility for resource allocation and presents empirical estimates of the costs and benefits of volatility for a large sample of countries. The most important theme in the analysis is the extent of output flexibility in the face of variable prices. It is shown that price volatility gives rise to high returns to flexibility which suggests that commodity exporting countries should regard price volatility as an opportunity to benefit by being flexible as well as a source of welfare costs. The empirical estimates show that many developing countries have had an inflexible response to changes in world prices over the period 1958-90. Flexibility may improve with the abolition of producer price stabilisation in many countries in the 1980s, a policy reform that is predicted to yield large benefits. These will increase if attempts are also made to improve the functioning of domestic risk and capital markets together with enhanced access to their international equivalents.

There is a large body of research that indicates that international equity markets co-move over time. This co-movement manifests in various instruments, ranging from equities and bonds to soft commodities. However, this co-movement is more prevalent over crisis periods and can be seen in returns and volatility transmission effects. The recent financial crisis demonstrated that no local market is immune to transmission effects from international markets. South African financial market participants, such as investors and policymakers, have a vested interest in understanding how the equity market in particular and the economy in general react to international financial crises. This study aims to contribute an improved understanding of how the South African equity market interacts with international equity markets, by identifying the degree of price and volatility transmission before, during, and after an international financial crisis. This was done by investigating the possibility of changes in price and volatility transmissions from the Asian financial crisis (1997–1998), the dotcom bubble (2000–2001) and the more recent subprime financial crisis (2007–2009). An Exponential Generalized Autoregressive Conditional Heteroskedasticity (E-GARCH) model was employed within the framework of an Aggregate Shock model. The results indicate that during the international financial crises studied, the JSE All Share Index was directly affected through contagion effects inherent in the returns of the originating crisis country. Volatility transmissions during international financial crises came directly from the originating crisis country. Finally, the FTSE 100 Index was the main exporter of price and volatility transmission to the JSE All Share Index.
Thesis (M.Com. (Risk management))--North-West University, Potchefstroom Campus, 2012

This study uses a random coefficient estimation procedure to test the hypothesis that much of the volatility in the U.S./Canada real exchange rate over the time period 1971 through 1999 is due to the relative price of non-traded goods to traded goods. The model specification used in this study provides estimates of the sensitivity of movements in the U.S./Canada real exchange rate to movements in both the relative price of traded goods and the relative price of non-traded goods to traded goods in each of the two countries. I test for purchasing power parity in each of the two components of the model and address the question of volatility through the examination of the time profile of the respective coefficient estimates. The empirical results support the conclusion that the average value of the coefficient on the relative price of non-traded goods to traded goods component is smaller than that on the relative price of traded goods component. However, purchasing power parity in both components can not be rejected when the period of study is limited to 1971 through 1994. Furthermore, examination of the time profile of the random coefficients on the relative price of non-traded goods to traded goods component suggests that it is much more volatile and, therefore, quite significant in capturing the volatility in U.S./Canada real exchange rate movements. With regard to purchasing power parity in both the traded goods component and the non-traded goods to traded goods component, these results are consistent with the implications of the theory of purchasing power parity. However, they are not entirely consistent with the evidence presented in recent literature. Specifically, evidence presented in recent studies can not support perfect purchasing power parity in either traded goods or non-traded goods and leads to the conclusion that non-traded goods are much less significant, if at all, in the determination of the U.S./Canada real exchange rate. This inconsistency with recent literature is most likely a result of the fact that the random coefficient modeling technique used in this study allows the coefficients to vary over time and, thereby, enables the volatility of both components to be captured in the model. Therefore, given the apparent significance of the relative price of non-traded goods to traded goods, the volatility of this component can logically be expected to significantly contribute to the volatility in the U.S./Canada real exchange rate.
Master of Arts

[Truncated abstract] Given the theoretical and historical evidence that support the benefit of investing internationally. there is Iittle knowledge available of proper international portfolio construction in terms of how much should be invested in foreign countries, which countries should be targeted, and types of assets to be included in the portfolio. The prospects of these benefits depend on the market volatilities, cross-country correlations, and currency risks to change in the future. Another important issue in international portfolio diversification is the growth of newly emerging markets which have different characteristics from the developed ones. Addressing the issues, the thesis intends to investigate the nature of volatility, conditional correlations, and the impact of currency risks in international portfolio, both in developed and emerging markets. Chapter 2 provides literature review on volatility spillovers, conditional correlations, and forecasting both VaR and conditional correlations using GARCH-type models. Attention is made on the estimated models, type of assets, regions of markets, and tests of forecasts. Chapter 3 investigates the nature of volatility spillovers across intemational assets, which is important in determining the nature of portfolio's volatility when most assets are seems to be connected. ... The impacts of incorporating volatility spillovers and asymmetric effect on the forecast performance of conditional correlation will also be examined in this thesis. The VARMA-AGARCH of McAleer, Hoti and Chan (2008) and the VARMA-GARCH model of Ling and McAleer (2003) will be estimated to accommodate volatility spillovers and asymmetric effect. The CCC model of Bollerslev (1990) will also be estimated as benchmark as the model does not incorporate both volatility spillovers and asymmetric effects. Given the information about the nature of conditional correlations resulted from the forecasts using a rolling window technique, Section 2 of Chapter 4 investigates the nature of conditional correlations by estimating two multivariate GARCH models allowing for time-varying conditional correlations, namely the DCC model of Engle (2002) and the GARCC model of McAleer et al. (2008). Chapter 5 conducts VaR forecast considering the important role of VaR as a standard tool for risk management. Especially, the chapter investigates whether volatility spillovers and time-varying conditional correlations discussed in the previous two chapters are of helps in providing better VaR forecasts. The BEKK model of Engle and Kroner (1995) and the DCC model of Engle (2002) will be estimated to incorporate volatility spillovers and conditional correlations, respectively. The DVEC model of Bollerslev et al. (1998) and the CCC model of Bollerslev (1990) will be estimated to serve benchmarks, as both models do not incorporate both volatility spillovers and timevarying conditional correlations. Chapter 6 concludes the thesis and lists somc possible future research.

The current study examines the extent and magnitude by which global and regional shocks are transmitted to the volatility of returns in the stock markets of South Africa, Egypt, Nigeria, Botswana, Mauritius and Egypt. This is done so as to make inferences on the level of the domestic market‟s integration into the regional and world capital markets. By applying multivariate and univariate GARCH models, using weekly data from June 1995 to May 2010, the main empirical findings are threefold. Firstly, the volatility analytical framework finds statistically significant and time-varying volatility spillover effects from the regional and global markets to the South African market. Global shocks are generally stronger and account for up to 23.9 percent of the volatility of South Africa‟s equity market compared to weaker regional factors which account for less than 1 percent of domestic variance. Only in countries with strong bilateral trade and economic links with South Africa, such as Botswana and Namibia, is it found that regional factors are more dominant than global factors for domestic volatility. Compared to the other African markets, the joint influence of foreign shocks on domestic volatility is highest in South Africa and Egypt, two of Africa‟s largest and most developed markets. The results further demonstrate that for all the African markets the explanatory power of both regional and global factors for domestic volatility is not constant over time and tends to increase during turbulent market periods. Secondly, the analysis of the determinants of South frica‟s second moment linkages with the global market suggests that the volatility of the exchange rate plays a cardinal role in influencing the magnitude by which global shocks affect domestic volatility. The increased global integration in the second moments cannot be attributed to either increased trade integration, convergence in inflation rates or to convergence in interest rates between South Africa and the global markets. Lastly, tests were conducted to examine whether there have been contagion effects from the regional and global markets to South Africa from the 1997 Asian crisis and the 2007/8 global financial crisis. The results show no evidence of contagion during either the East Asian currency crisis or the recent global financial crisis to South Africa, while some African markets, such as Egypt, Mauritius and Botswana, exhibit contagion effects from either crisis. Overall, the empirical findings generally support the view that African markets are segmented both at the regional and global levels as domestic volatility is more influenced by local idiosyncratic shocks (the proportion not attributable to either global and regional factors). However, the volatility of South Africa, and to a lesser extent Egypt, remains relatively more open to global influence. This implies that the potential for gains from international portfolio diversification and the scope for success of policies aimed at the stabilisation of equity markets in these markets exist.

碩士
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.

碩士
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.

碩士
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.

碩士
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.

This thesis examines the effects of price and exchange rate volatilities on the volume of trade corn, soybean, wheat and rice. Empirical results indicate that price volatility and exchange rate volatilities do not have effects on Canada’s export of wheat and soybean, and Canada’s import of corn and rice. This thesis also examined the effects of exchange rate and commodity price volatilities on developed countries’ trade and developing countries’ trade separately. Results show that trade between developing countries is more sensitive to exchange rate and commodity price volatilities than trade between developed countries.
Canadian Agricultural Trade Policy and Competitiveness Research Network (CATPRN)

碩士
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.

碩士
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.

The thesis analyses the patterns and underlying political economy causes of long-run trends and short-run fluctuations in national distortions to agricultural incentives. It does so by exploiting, revising and expanding a dataset of agricultural distortion measures in developing and developed countries from 1955 to 2004 for developing and 2007 for high-income countries by Anderson and Valenzuela (2008). More specifically, it extends its time period to 2009 for developing countries and 2010 for high-income countries. An essential contribution of the thesis is the update of this database to 2010 in order to capture the most recent international food price spike period. The large dataset makes it possible to analyse insulating behaviour in agricultural markets historically over the past 55 years, and to compare governments' reactions to food market shocks and upwards and downwards price spikes in the most recent years vis-a-vis those in the past. The thesis examines the extent of domestic market insulating behaviour of governments by both food-exporting and food-importing countries. This is because the policies of both country groups contribute substantially to international food price volatility and therefore to economic instability and to trade and welfare fluctuations. The international-to-domestic food price transmission elasticity is used as one indicator of such policy action. The evidence also allows us to test to what extent the policy decisions of governments achieve the goal of protecting domestic producers or consumers from international price spikes in either direction. The results of the analysis are subdivided into the contribution of different regions, country groups and policy instruments. The study also quantifies the extent of the contribution of changes in national agricultural trade restrictions to food price spikes internationally, over and above to the initial exogenous price shock. Reactions of food-exporting and food-importing countries at the same time exacerbate price spikes in international food prices and therefore are a concern for all trading nations because of their nontrivial contribution to domestic and international volatility and uncertainty. To test empirically the political economy causes of such market insulating behaviour of governments, the loss aversion theory of Freund and Oezden (2008), with amendments by Jean, Laborde and Martin (2010) to ensure suitability for agricultural markets, is drawn upon. The focus of this part of the thesis is on the question as to why countries alter assistance levels through variations in trade restrictions to protect one domestic group at the cost to others within the nation, rather than more-direct, more-efficient domestic policy instruments to protect either producers or consumers from price spikes. The final part of the thesis focuses on potential future developments in agricultural market distortions and provides an alternative agricultural protection counterfactual for trade policy modelling than the status quo. After identifying the crucial influencing factors on agricultural distortions in the past, projections of assistance measures are provided for the year 2030. These projections make it possible to model an alternative scenario of the costs based on newly estimated political econometric equations of trade-distorting policies in the future, to compare with one that assumes no future policy changes in their baseline.
Thesis (Ph.D.) -- University of Adelaide, School of Economics, 2012

博士
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.

碩士
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.

碩士
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.

碩士
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.

While decision-making under uncertainty is a major universal problem, its implications in the field of transportation systems are especially enormous; where the benefits of right decisions are tremendous, the consequences of wrong ones are potentially disastrous. In the realm of highway systems, decisions related to the highway configuration (number of lanes, right of way, etc.) need to incorporate both the traffic demand and land price uncertainties. In the literature, these uncertainties have generally been modeled using the Geometric Brownian Motion (GBM) process, which has been used extensively in modeling many other real life phenomena. But few scholars, including those who used the GBM in highway configuration decisions, have offered any rigorous justification for the use of this model. This thesis attempts to offer a detailed analysis of various aspects of transportation systems in relation to decision-making. It reveals some general insights as well as a new concept that extends the notion of opportunity cost to situations where wrong decisions could be made. Claiming deficiency of the GBM model, it also introduces a new formulation that utilizes a large and flexible parametric family of jump models (i.e., Lévy processes). To validate this claim, data related to traffic demand and land prices were collected and analyzed to reveal that their distributions, heavy-tailed and asymmetric, do not match well with the GBM model. As a remedy, this research used the Merton, Kou, and negative inverse Gaussian Lévy processes as possible alternatives. Though the results show indifference in relation to final decisions among the models, mathematically, they improve the precision of uncertainty models and the decision-making process. This furthers the quest for optimality in highway projects and beyond.