Wyniki wyszukiwania - Biblioteka Nauki

1

Hierarchical modelling of volatility spillovers in ship demolition markets

100%

Açik A.

Scientific Journal of Gdynia Maritime University

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2021

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tom nr 117

7--19

EN

he offered demolition prices are as important as the freight rates in the market in shipowners' decisions to send their ships for demolition. This study aims to determine the most affected and the most affecting countries in the ship demolition market by examining the hierarchical price movements among the prices offered for demolition in major centres around the world. In this direction, integrated causality in variance, Interpretative Structural Modeling (ISM) and MICMAC (Matrices d’Impacts cross-multiplication appliqúe a classmate) analysis are used. According to the obtained results, the price dependence on Turkey is the lowest, while the price dependence in Bangladesh is the highest. Volatility in the market is spreading to other markets from Turkey. These results are thought to be useful in understanding price behaviour in the ship demolition industry, which is a relatively small market.

2

Information flow between revenue and stock exchanges: An empirical research on liner shipping companies

88%

Açık A. , Baran Kasapoğlu E. , Ayaz İ. S.

Journal of Sustainable Development of Transport and Logistics

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2021

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tom Vol. 6, No. 1

81--89

EN

The aim of this research is to test the volatility spillover between the stock values of the major liner shipping companies in the world and the freight indices measuring the freight revenues in the container market. The dataset in the study consists of 9 stock values of the top 10 biggest liner companies in 2018 and 3 container freight indices on weekly basis covering the period between 05.11.2010 and 06.07.2018. Volatility spillovers have been determined to some companies' stock values from some container freight indices, and the most influential freight index has been determined as New ConTex. Moreover, some volatility spillovers from some companies' stock values to freight indices have been also determined. These results suggest that some stock investors position their portfolios in the market according to the flow of information from freight indices while some investors position by following macro variables.

3

Agricultural commodities: An integrated approach to assess the volatility spillover and dynamic connectedness

75%

Mishra A. , Kumar R. P.

Economics and Business Review

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2021

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tom 7

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nr 4

28-53

EN

In this article the dynamic connectedness between the five agricultural commodities is examined by implementing the Diebold and Yılmaz (VAR based) and Time Varying Parameter Vector Autoregressions (TVP-VAR) measures for understanding the time-varying variance-covariance mechanism using daily data for the period of 2005 to 2019. The findings reveal that at an overall level all the commodity prices are less susceptible to significant volatility shocks from other commodities specifically before the introduction of the pan-India electronic trading portal (eNAM). Cotton prices do not show any variation due to spillover from others for the entire study period. The volatility spillover is visible post eNAM period particularly for the commodity stock prices. Whereas at an overall level the total directional connectedness has gone down in the post eNAM era. The network analysis suggests that the commodity stock prices show a stronger association as compared to market prices. Generally commodity prices show volatility connectedness but with respect to their own market which means strong spillover is missing among both the markets.

4

Do Instabilities in National Macroeconomic Factors Contribute to Channeling Volatility Spillover from the Global to the Islamic Equity Market?

63%

Muharam H. , Najmudin N. , Mawardi W. , Arfinto E. D.

Comparative Economic Research. Central and Eastern Europe

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2021

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tom 24

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nr 1

PL

Niniejsze badanie dotyczy wpływu niestabilności makroekonomicznej na przenoszenie zmienności stóp zwrotu z globalnego na islamski rynek akcji. Badane czynniki ekonomiczne to kurs walutowy, stopa inflacji, stopa procentowa i wzrost produkcji. Aby osiągnąć cel badania, wykorzystano trzy narzędzia analityczne: model GARCH (p, q) do wyliczania wartości zmienności dla wszystkich zmiennych, model ADCC w celu uzyskania miary wpływu zmienności jako zmiennej zależnej oraz technikę regresji danych panelowych do oceny znaczenia przyczynowości czynników makroekonomicznych w przenoszeniu zmienności. Niniejsze badanie jest pierwszym, które rozszerza takie podejście. Obserwowano miesięczne dane dotyczące światowych i islamskich indeksów rynkowych, kursów walutowych, wskaźników cen konsumpcyjnych, stóp procentowych i wskaźników produkcji przemysłowej. Dane z okresu od maja 2002 do lutego 2019 roku pochodzą z rynku światowego i dwudziestu trzech gospodarek – czternastu rozwiniętych i dziewięciu wschodzących rynków posiadających islamskie indeksy giełdowe. W kilku sekcjach przedstawiono ważne dodatkowe analizy dla pięciu rynków akcji w gospodarkach Europy Środkowej, które są porównywane z innymi rynkami. Wyniki badania sugerują, że na występowanie efektu przenoszenia zmienności wywodzącej się z rynku globalnego na rynki islamskie wpływa wewnętrzna niestabilność czynników makroekonomicznych, z wyjątkiem niestabilności produkcji przemysłowej na rynkach rozwiniętych, w tym na rynkach Europy Środkowej. Z badania wynika, że regulatorzy powinni przewidywać niekorzystne konsekwencje przenoszenia zmienności i zapobiegać im poprzez zorganizowanie wewnętrznej polityki gospodarczej w celu kontrolowania stóp inflacji, stóp procentowych i wzrostu produkcji przemysłowej, a także elastyczności kursu walutowego. Ponadto praktycy rynkowi powinni uwzględnić w swoich prognozach zmienność rynków globalnych i niestabilność makroekonomiczną, tak aby minimalizować ryzyko.

EN

This study investigates the impact of macroeconomic instabilities on returns volatility spillover that is transmitted from the global to the Islamic equity market. The economic factors examined are the exchange rate, inflation rate, interest rate, and production growth. To achieve the purpose of the study, we utilize three analysis tools: a GARCH(p,q) model to derive values of volatility for all variables; an asymmetry dynamic conditional correlation (ADCC) model to produce a measure of volatility spillover as the dependent variable; and a panel data regression technique to assess the causality significance of macroeconomic factors to volatility spillover. This study is the first which expands such approaches. We observe monthly data of world and Islamic market indices, exchange rates, consumer price indices, interest rates, and industrial production indices. The data, which range from May 2002 to February 2019, are taken from the world market, and twenty-three economies, which consist of fourteen developed and nine emerging markets that have Islamic stock indices. In several sections, we provide important additional analysis for five stock markets in Central European economies, which are compared to the others. The finding suggests that the presence of volatility spillover on the Islamic markets that originates from the global market is affected by the internal instabilities of macroeconomic factors, except for industrial production instability for developed markets, including Central European markets. An implication of the study is that regulators should anticipate and prevent adverse consequences of volatility spillover by arranging their internal economic policy to control inflation rates, interest rates, and industrial production growth, as well as exchange rate flexibility. Moreover, market practitioners should include both global market volatility and macroeconomic instabilities in their prediction to create minimum risk.