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https://irlib.pccu.edu.tw/handle/987654321/48786
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| 题名: | Volatility Transmission from Equity, Bulk Shipping, and Commodity Markets to Oil ETF and Energy Fund-A GARCH-MIDAS Model |
| 作者: | Lin, AJ (Lin, Arthur J.)
Chang, HY (Chang, Hai-Yen) |
| 贡献者: | 財金系 |
| 关键词: | oil industry
oil ETF
energy mutual fund
volatility transmission
contagion
GARCH-MIDAS model
China trade war
commodities |
| 日期: | 2020-09 |
| 上传时间: | 2020-11-05 10:00:43 (UTC+8) |
| 摘要: | Oil continues to be a major source of world energy, but oil prices and funds have experienced high volatility over the last decade. This study applies the generalized autoregressive conditional heteroskedasticity-mixed-data sampling (GARCH-MIDAS) model on data spanning 1 July 2014 to 30 April 2020 to examine volatility transmission from the equity, bulk shipping, commodity, currency, and crude oil markets to the United States Oil Fund (USO) and BlackRock World Energy Fund A2 (BGF). By dividing the sample into two subsamples, we find a significant volatility transmission from the equity market to the oil ETF and energy fund both before and after the 2018 U.S.-China trade war. The volatility transmission from the bulk shipping, commodity, and crude oil markets turns significant for the oil ETF and energy fund after the 2018 U.S.-China trade war, extending into the COVID-19 pandemic in early 2020. The results suggest that investors can use the equity market to predict the movement of oil and energy funds during both tranquil and turmoil periods. Moreover, investors can use bulk shipping, commodity, and crude oil markets in addition to the equity market to forecast oil and energy funds' volatility during the turmoil periods. This paper benefits investors against the high volatility of the energy funds |
| 關聯: | MATHEMATICS 卷冊: 8 期: 9 文獻號碼: 1534 |
| 显示于类别: | [財務金融學系 ] 期刊論文
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