The Empirical Study of Asymmetric Relationships in the Commodity and Financial Markets

• Main Authors: Hsun-Fang Cho, 卓訓方
• Other Authors: Chien-Chung Nieh
• Format: Others
• Language: en_US
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/21505395293540340886

博士 === 淡江大學 === 財務金融學系博士班 === 104 === In past 10 years global economy affected by internationalization, liberalization and advanced science and technology makes more frequent and closer international trade and financial transactions all over the world. The relationships of commodity and financial markets have gathered great importance. In recent years, oil price volatility, global financial crises and America and Japan Quantitative Easing Monetary Policies have greatly been affecting the global commodity and financial markets. We utilize the model of asymmetric relationships to explore the causal nexus of commodity and financial markets and co-movement effects or common trend effects in the transmission or contagion among international commodity and financial markets The first topic of our study is “the empirical study of the asymmetric relationships between oil and food prices”. Empirical evidence suggests that there is a long-term equilibrium relationship between corn, rice, soybean, and wheat prices and the oil price during the time period investigated. Furthermore, we examined the short-run causal relationship exists between corn, and wheat prices and oil price. Finally, we also find out oil price to corn, soybean, and wheat price have a lead-lag causal relationship. The second theme is “the exchange market contagion in an asymmetric framework before and after Abenomics”. The empirical evidence confirms a contagion effect particularly in Asian countries where there is export competition with Japan with the exception of South Korea during Abenomics. The contagion of the Japanese yen depreciation is not transmitted to Australia, the Euro zone (France, Germany, Italy, and Netherlands), Qatar, Saudi Arabia, and USA in competitive trade with Japan. We can apparently find the effect of yen devaluation only occurred in the region of Asia close to Japan and does not spread Europe and America. In general, our results support the contagion phenomenon for Abenomics. Nevertheless, the effect of the contagion is regional not global. The third issue is “the effect of exchange rate change on stock return in Taiwan around Abenomics”. The main contribution is to provide a means for CEOs of companies in the two industries to exercise hedge options and evade the risk of exchange rate for their firms when the appreciation of currency are over 2.30% and 2.72% for automotive and integrated circuits industries, respectively. The empirical study finds that the exchange rate change over the threshold level certainly influenced profitability and stock returns of companies in the automotive and integrated circuits industries in Taiwan around Abenomics.