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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/119275


    Title: 航運運價指數與台灣上市貨櫃航運公司股價關聯性之研究
    A study of the correlation between the shipping freight index and the stock price of taiwanese listed container shipping companies
    Authors: 徐瑋
    Hsu, Wei
    Contributors: 林信助
    徐瑋
    Hsu, Wei
    Keywords: 中國出口集裝箱運價指數
    上海出口集裝箱運價指數
    波羅的海乾散貨指數
    貨櫃航運股價
    CCFI
    SCFI
    BDI
    Container shipping company
    Date: 2018
    Issue Date: 2018-08-10 10:25:33 (UTC+8)
    Abstract:   過去許多文獻發現代表散裝運價的波羅的海指數 (BDI) 與部份台灣上市散裝航運公司股價具有長期穩定關係及具有預測之能力,因此建議可以透過觀察波羅的海指數投資未來台灣上市散裝航運公司,然尚未有文獻探討貨櫃運價指數與台灣上市貨櫃航運股價之間是否也存在類似的關係。本文以中國出口集裝箱運價指數 (CCFI) 與上海出口集裝箱運價指數 (SCFI) 這兩大貨櫃運價指數為研究對象,透過單根檢定、Johansen共整合檢定、向量誤差修正模型、VAR以及Granger因果檢定探討這兩大指數與台灣三大上市貨櫃航運公司:長榮海運、陽明海運、萬海航運之間是否存在長期均衡關係,是否貨櫃航運指數對於台灣上市貨櫃航運公司股價具有預測能力。本文實證結果發現,存在於過去散裝運價指數與台灣上市散裝航運公司股價間的關係並不存在於貨櫃運價指數 (CCFI、SCFI) 與台灣上市貨櫃航運公司股價間,推測可能乃市場型態、公司規模、資料頻率不同所致。另外,本研究也發現波羅的海指數並不能幫助預測台灣上市貨櫃航運公司股價,證實部分媒體以「散裝」運價指數預測「貨櫃」航運公司經營狀況實為一謬誤。本研究進一步探討加入台灣加權股價指數變化率與布蘭特油價變化率後之結果,其與未加入前一致。
    There is a great deal of research finding out that Baltic Dry Index, a bulk freight index, has a cointegration relationship with some Taiwan listed bulk shipping company’s stock price. Besides, BDI does Granger cause those stock price, which means the change of BDI is useful to predict the change of stock price. Thus, investor could invest Taiwan listed bulk shipping company by taking the BDI into consideration. There is no research about the relationship between container freight index and Taiwan listed container shipping company’s stock price yet. The purpose of this study is to examine the relationship among the China Containerized Freight Index, Shanghai Containerized Freight Index and Stock Price of Evergreen Marine Corp., Yang Ming Marine Transport Corp., Wan Hai Lines Ltd. The empirical results show that the relationship between bulk freight index and Taiwan listed bulk shipping company’s stock price does not exist in the container freight index (CCFI&SCFI) and Taiwan listed container shipping company’s stock price. It could result from the difference in data frequency, company size and market type. This study also proves it’s wrong to predict the Taiwan listed container shipping company’s stock price with dry bulk freight index. This study also gets the same results while taking TAIEX and Brent crude price into consideration.
    Reference: 中文部份
    上海航運交易所(2018)。檢自:http://www.sse.net.cn/home
    施慧潔(2015)。中國出口貨櫃綜合運價指數與上海出口貨櫃綜合運價指數之關聯性研究。長榮大學航運管理研究所學位論文,1-86。
    許嘉修(2011)。散裝運價與貨櫃運價領先落後關係。(碩士),國立臺灣海洋大學, 基隆市。
    陳旭昇(2013)。時間序列分析: 總體經濟與財務金融之應用(第二版)。東華書局,台北市。 
    陳肇安(2005)。台灣運輸類股指數與BDI等國內外相關指數連動性之探討。(碩士),國立中山大學,高雄市。
    曾俊鵬(2010)。國際貨櫃運輸實務(第三版)。華泰文化,台北市。
    黃羽婕(2015)。台灣上市散裝航運公司股價與波羅的海運價指數的關聯性研究。(碩士),國立臺灣海洋大學,基隆市。
    劉錫謙(2008)。以時間序列方法探討波羅的海運價指數與運輸類股之研究:以美國與台灣為研究對象。成功大學交通管理科學系學位論文,1-75。

    西文部份
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    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    105351045
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0105351045
    Data Type: thesis
    DOI: 10.6814/THE.NCCU.IB.028.2018.F06
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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