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2021, vol. 49, br. 1, str. 67-80
Preispitivanje efekta prelivanja - empirijski dokaz iz pristupa GARCH-ARMA
aChung Yuan Christian University, Taiwan
bAsian Institute of Management, Philippines

e-adresag10804610@cycu.edu.tw
Ključne reči: GARCH-ARMA; S&P 500; EUR/USD; nafta; zlato
Sažetak
Ova studija analizira efekat prelivanja roba na tržištu, deviznog kursa i cena akcija. Počevši od 1. jula 2009. u studiji se sprovode dnevni podaci do 31. decembra 2019. godine. U ovoj studiji je korišćen GARCH-ARMA pristup. Rezultat pokazuje da četiri para doživljavaju jednosmerni (pozitivni) efekat prelivanja. Ipak, efekat prelivanja nestabilnosti pokazuje dvosmerni odnos (i pozitivan i negativan) između robnih tržišta, cena akcija i deviznih kurseva. Da zaključimo, i cene akcija i zlato su neto prenosnici nestabilnosti na druga tržišta, dok je tržište EUR-USD neto primalac nestabilnosti na nekim tržištima.
Reference
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O članku

jezik rada: engleski
vrsta rada: izvorni naučni članak
DOI: 10.5937/industrija49-30692
primljen: 03.02.2021.
revidiran: 16.03.2021.
prihvaćen: 07.04.2021.
objavljen onlajn: 30.04.2021.
objavljen u SCIndeksu: 18.05.2021.
metod recenzije: dvostruko anoniman
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