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| Title: | 金融事件衝擊時國際金融變數對航運基金SEA之影響--運用傳遞熵與GARCH-MIDAS模型 |
| Authors: | 林泳孜
Lin, Yung-Tzu |
| Contributors: | 林靖
蕭明福
林泳孜
Lin, Yung-Tzu |
| Keywords: | SEA ETF
外溢效果
傳遞熵
GARCH-MIDAS
貨運市場
SEA ETF
Volatility spillovers
Transfer Entropy
GARCH-MIDAS
Shipping freight markets |
| Date: | 2020 |
| Issue Date: | 2020-09-02 12:47:14 (UTC+8) |
| Abstract: | 本研究使用全球海運指數基金(Invesco Shipping ETF; SEA ETF)所追蹤的指數推進Lin et al.（2019）研究成果，強調貨運市場和匯率市場和股價市場間的動態相關性，探討SEA ETF與航運市場和其他金融市場間的傳導聯繫。透過使用傳遞熵（Transfer Entropy）與GARCH-MIDAS實證分析研究SEA ETF的信息流之方向及傳遞效果，以探討其外溢效果（spillover effect）與路徑，提供投資者對其市場預測與投資組合有更多的見解，近一步改善風險管理，特別是發生金融衝擊的動盪時期。最後實證分析結果顯示SEA ETF在大部分時期與國際金融變數呈現顯著性相關，透過傳遞熵實證結果判定領先與落後指標，預測國際金融變數之未來走勢。
This study uses Invesco Shipping ETF (SEA ETF) to advance the research results of Lin et al. (2019), emphasizes the dynamic associativity between the freight market, the exchange rate market and the stock price market, and analysis the relationship between the SEA ETF, shipping market and other financial markets. Through the adaptation of Transfer Entropy and GARCH-MIDAS, this study illustrates the direction and transmission effect of the SEA ETF information flow. It passed to explore its spillover effect and path; provide investors with more insights to the market forecasts and investment portfolios, and improve risk management, especially during the financial crisis. The final empirical analysis results reveal that the SEA ETF is significantly correlated with global economic variables in most of the period. The results of Transfer Entropy are used for determining the leading and lagging indicators and predicting the future trend of international financial variables. |
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| Description: | 碩士
國立政治大學
經濟學系
107258040 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0107258040 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202001713 |
| Appears in Collections: | [經濟學系] 學位論文
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