Investigating the Co-Movement and Asymmetric Relationships of Oil Prices on the Shipping Stock Returns: Evidence from Three Shipping-Flagged Companies from Germany, South Korea, and Taiwan.

IF 2.6 4区计算机科学 Q2 COMPUTER SCIENCE, INTERDISCIPLINARY APPLICATIONS

Big Data Pub Date : 2024-02-13 DOI:10.1089/big.2023.0026

Jumadil Saputra, Kasypi Mokhtar, Anuar Abu Bakar, Siti Marsila Mhd Ruslan

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Abstract

In the last 2 years, there has been a significant upswing in oil prices, leading to a decline in economic activity and demand. This trend holds substantial implications for the global economy, particularly within the emerging business landscape. Among the influential risk factors impacting the returns of shipping stocks, none looms larger than the volatility in oil prices. Yet, only a limited number of studies have explored the complex relationship between oil price shocks and the dynamics of the liner shipping industry, with specific focus on uncertainty linkages and potential diversification strategies. This study aims to investigate the co-movements and asymmetric associations between oil prices (specifically, West Texas Intermediate and Brent) and the stock returns of three prominent shipping companies from Germany, South Korea, and Taiwan. The results unequivocally highlight the indispensable role of oil prices in shaping both short-term and long-term shipping stock returns. In addition, the research underscores the statistical significance of exchange rates and interest rates in influencing these returns, with their effects varying across different time horizons. Notably, shipping stock prices exhibit heightened sensitivity to positive movements in oil prices, while exchange rates and interest rates exert contrasting impacts, one being positive and the other negative. These findings collectively illuminate the profound influence of market sentiment regarding crucial economic indicators within the global shipping sector.

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探究油价对航运股回报的共动和非对称关系：来自德国、韩国和台湾的三家航运滞后公司的证据。

在过去两年里，石油价格大幅上涨，导致经济活动和需求下降。这一趋势对全球经济，尤其是新兴商业领域产生了重大影响。在影响航运业股票收益的风险因素中，最重要的莫过于石油价格的波动。然而，只有为数有限的研究探讨了油价冲击与班轮航运业动态之间的复杂关系，并特别关注不确定性联系和潜在的多元化战略。本研究旨在探讨油价（特别是西德克萨斯中质油价和布伦特油价）与德国、韩国和台湾三家著名航运公司股票收益之间的共同变动和非对称关联。研究结果明确凸显了油价在影响短期和长期航运股票回报率方面不可或缺的作用。此外，研究还强调了汇率和利率在影响这些回报率方面的统计意义，它们在不同时间跨度上的影响也各不相同。值得注意的是，航运股票价格对石油价格的积极变动表现出更高的敏感性，而汇率和利率则产生了截然不同的影响，一个是积极的，另一个是消极的。这些发现共同揭示了市场情绪对全球航运业关键经济指标的深刻影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Big Data COMPUTER SCIENCE, INTERDISCIPLINARY APPLICATIONS-COMPUTER SCIENCE, THEORY & METHODS

CiteScore

9.10

自引率

2.20%

发文量

期刊介绍： Big Data is the leading peer-reviewed journal covering the challenges and opportunities in collecting, analyzing, and disseminating vast amounts of data. The Journal addresses questions surrounding this powerful and growing field of data science and facilitates the efforts of researchers, business managers, analysts, developers, data scientists, physicists, statisticians, infrastructure developers, academics, and policymakers to improve operations, profitability, and communications within their businesses and institutions. Spanning a broad array of disciplines focusing on novel big data technologies, policies, and innovations, the Journal brings together the community to address current challenges and enforce effective efforts to organize, store, disseminate, protect, manipulate, and, most importantly, find the most effective strategies to make this incredible amount of information work to benefit society, industry, academia, and government. Big Data coverage includes: Big data industry standards, New technologies being developed specifically for big data, Data acquisition, cleaning, distribution, and best practices, Data protection, privacy, and policy, Business interests from research to product, The changing role of business intelligence, Visualization and design principles of big data infrastructures, Physical interfaces and robotics, Social networking advantages for Facebook, Twitter, Amazon, Google, etc, Opportunities around big data and how companies can harness it to their advantage.