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- W3208666397 abstract "One of the most vital commodities is oil and its impact on the global economy is substantial through numerous studies. This paper aims at examining the stock returns of three main global shipping companies in three countries that are based in Germany (Hapag-Lloyd), South Korea (Hyundai) and Taiwan (Yang Ming). The goal of this study is to look into the oil price and shipping stock prices using a range of univariate GARCH models by using daily data from 2017 to 2020. Methodologically, this study employs symmetric and asymmetric GARCH models. Based on the outcome, it shows that the volatility shocks are quite persistent, with coefficients’ volatility exhibits clustering to set up future positions in anticipation of the advance in the stock market. The findings of EGARCH model show the leverage effect and the shock impact are asymmetric with positive shocks have a stronger influence on the volatility of the following period than the same negative magnitudes of shocks. Nonetheless, the GJR-GARCH model presents a rather mixed outcome with Yang Ming exhibits no asymmetric effect on the volatility, while Hyundai and HLAG show that negative shocks led towards volatility. In sum, the finding of this study is important since it would provide a realistic view for regulators and investors in anticipating the market sentiment in shipping market with respect to the global oil prices." @default.
- W3208666397 created "2021-11-08" @default.
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- W3208666397 date "2021-11-01" @default.
- W3208666397 modified "2023-10-16" @default.
- W3208666397 title "Stock market volatility on shipping stock prices: GARCH models approach" @default.
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- W3208666397 doi "https://doi.org/10.1016/j.jeca.2021.e00232" @default.
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