Abstract:
This thesis is an attempt to develop the method and the model to measure the viscosities and inertia against the volatalities in the time series of automotives’ (cars) world sales, market share and the world net exports in the presence of finanicial, economical and trade fundamentals while investigating the automotive industry of top 26 automotive producing nations in terms of stated automotive variables in connection with financial fundamentals which include proxies of stock market (change in closing shares/stocks prices and trading volume of stocks) economical fundamentals include nations’ prosperity (per capita income, GDP growth rate and employment rate), and domestic energy oil market players (domestic energy oil productions and domestic energy oil consumption) and trade fundamentals include, international trade players (inflation rate, net exports of all goods and services and foreign exchange rates) and International price players (comprised on international oil price and international gold price). The data of automotives (car) world sales, market shares and the world net exports along with the all selected fundamentals of all top 26 automotive (cars) producing nations were collected from the comtrade, Eikon, data stream of Thomson Reuters and yahoo finace. Simulation of GARCH 1, 1 with winters Holt procedure was used to develop a novel model (two stage Subhani-GARCH model) to address the main objective of this research which were, investigating the viscosities (1st step of two stage Subhani GARCH 1,1 process) and the inertia/ Subhani inertia (2nd step of two stage subhani GARCH 1,1 process) gainst the volatilities in the given time series. Besides investigating the main objective, various other corollaries and propositions were also framed and investigated for catering the questions of presence of volatilities, AR processes and non-stationarities in the stated automotive series.GARCH 1, 1 process VAR and ADF unit root test were employed to investigate framed corollaries and propositions. Findings confirmed that all stated top 26 automotive nations have shown, more or less same non-volatile trends with few exceptions while same AR process and same shocking behavior of the automotive (cars) world sales, market share and net exports for these top automotives manufacturing countries were found observed for last several years which cover more than a decade ranging from 2002 to 2014. Whereas, the novel two stage Subhani-GARCH 1, 1 model confirmed the presence of viscosity in all of outlined series of all top automotives (cars) manufacturing nations and inertia in only those series which were volatiles.
