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請使用永久網址來引用或連結此文件:
https://irlib.pccu.edu.tw/handle/987654321/45538
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| 題名: | Does the Baltic Dry Index drive volatility spillovers in the commodities, currency, or stock markets? |
| 作者: | Lin, AJ (Lin, Arthur J.)
Chang, HY (Chang, Hai Yen)
Hsiao, JL (Hsiao, Jung Lieh) |
| 貢獻者: | 財金系 |
| 關鍵詞: | Volatility spillover
VAR-BEKK-GARCH-X model
Baltic Dry Index
Dry bulk shipping |
| 日期: | 2019-07 |
| 上傳時間: | 2019-12-25 14:42:56 (UTC+8) |
| 摘要: | This study examines the spillover effect of the Baltic Dry Index (BDI) on the commodities futures, currency, and stock markets by using a tri-variate VAR-BEKK-GARCH-X model on a dataset from October 1, 2007 to October 31, 2018. Results reveal that the BDI spillover effect is time-varying. The spillover effect of the BDI was insignificant during the whole sample period but significant during the 2008/2009 global financial tsunami, and its influence increased during the 2014-2016 economic slowdown in China. The BDI serves as a short-term rather than long-term indicator for the commodities, currency, and equity markets, especially during financial crises. |
| 關聯: | TRANSPORTATION RESEARCH PART E-LOGISTICS AND TRANSPORTATION REVIEW 卷冊: 127 頁數: 265-283 |
| 顯示於類別: | [財務金融學系 ] 期刊論文
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