The influence of direct cross-straits shipping on the smooth transition dynamics of stock volatilities of shipping companies

This article use the smooth transition Generalized Autoregressive Conditional Heteroscedastic (GARCH) model to examine the impacts of direct cross-strait shipping on the dynamic structure of the stocks of shipping companies in Taiwan. We inferred the fact that the structural changes affect the volat...

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Veröffentlicht in:	Applied financial economics 2012-08, Vol.22 (16), p.1331-1342
Hauptverfasser:	Liu, Hsiang-Hsi, Wu, Chun-Chou, Su, Yi Kai
Format:	Artikel
Sprache:	eng
Schlagworte:	direct cross-straits shipping Economic models GARCH models regime change Sea transport Shipping industry smooth transition GARCH Stock returns Stocks Structural adjustment Structural change Studies Taiwan Transition economies Volatility
Online-Zugang:	Volltext
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