政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/119275

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/119275

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 109952/140891 (78%)
Visitors : 46259324 Online Users : 1042

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Scope

please add "double quotation mark" for query phrases to get precise results

please goto advance search for comprehansive author search

Adv. Search

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

Goto mobile version

政大典藏 > College of Commerce > Department of International Business > Theses > Item 140.119/119275

Please use this identifier to cite or link to this item: https://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 Batchelor, R., Alizadeh, A., & Visvikis, I. (2007). Forecasting spot and forward prices in the international freight market. International Journal of Forecasting, 23(1), 101-114. Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American statistical association, 74(366a), 427-431. Engle, R. F., & Granger, C. W. (1987). Co-integration and error correction: representation, estimation, and testing. Econometrica: journal of the Econometric Society, 251-276. Fuller, G. H. (1976). Nuclear spins and moments. Journal of Physical and Chemical Reference Data, 5(4), 835-1092. Granger, C. W. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica: journal of the Econometric Society, 424-438. Granger, C. W., & Newbold, P. (1974). Spurious regressions in econometrics. Journal of econometrics, 2(2), 111-120. Granger, C. W., & Ramanathan, R. (1984). Improved methods of combining forecasts. Journal of Forecasting, 3(2), 197-204. Johansen, S., & Juselius, K. (1990). Maximum likelihood estimation and inference on cointegration—with applications to the demand for money. Oxford Bulletin of Economics and statistics, 52(2), 169-210. Kavussanos, M. G., & Nomikos, N. K. (2003). Price discovery, causality and forecasting in the freight futures market. Review of Derivatives Research, 6(3), 203-230. Nelson, C. R., & Plosser, C. R. (1982). Trends and random walks in macroeconmic time series: some evidence and implications. Journal of monetary economics, 10(2), 139-162. Said, S. E., & Dickey, D. A. (1984). Testing for unit roots in autoregressive-moving average models of unknown order. Biometrika, 71(3), 599-607. Sims, C. A. (1980). Macroeconomics and reality. Econometrica: journal of the Econometric Society, 1-48. Veenstra, A. W., & Franses, P. H. (1997). A co-integration approach to forecasting freight rates in the dry bulk shipping sector. Transportation Research Part A: policy and practice, 31(6), 447-458.
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:	[Department of International Business] Theses

Files in This Item:

File	Size	Format
104501.pdf	1972Kb	Adobe PDF2	33	View/Open

All items in 政大典藏 are protected by copyright, with all rights reserved.

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

DSpace Software Copyright © 2002-2004 MIT & Hewlett-Packard / Enhanced by NTU Library IR team Copyright © - Feedback