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| Title: | 原物料相關公司股價對於原物料價格是否存在預測能力，以鋰與鐵礦砂為例
Can related stock prices accurately predict commodity prices, using lithium and iron ore as examples? |
| Authors: | 焦祖傑
Chiao, Tsu-Chieh |
| Contributors: | 張元晨
焦祖傑
Chiao, Tsu-Chieh |
| Keywords: | 原物料
電動車
鋰
電池級碳酸鋰
鐵礦砂
預測能力
股價
Commodity
Electric vehicle
Lithium
Battery-grade lithium carbonate
Iron ore
Predictive ability
Stock price |
| Date: | 2023 |
| Issue Date: | 2023-08-02 13:01:05 (UTC+8) |
| Abstract: | 由於電動車在近年蓬勃發展，現階段最主流的電動車電池為鋰電池，故本文選取電池級碳酸鋰作為研究對象，同時納入傳統產業鐵礦砂作為對照的研究對象，並選取原物料相關的公司作為樣本，探討原物料相關公司股價對於原物料價格是否存在預測能力，分為鋰礦商、鋰電池製造商、鐵礦商與鋼鐵公司，進一步比較這兩個產業相關公司股價對於原物料價格的預測能力。
實證結果發現在特定的樣本內與樣本外比例與預測期間時，相關公司股價走勢對原物料價格走勢顯著地存在預測能力，在樣本內的預測能力，除了鋰電池製造商統計上不顯著以外，在鋰礦商、鐵礦商與鋼鐵公司皆具有統計上顯著的預測能力，公司股價與原物料價格存在顯著正向關係，同時在樣本外預測能力方面，本研究發現電池級碳酸鋰相關公司的預測能力優於鐵礦砂相關公司。
Due to the vigorous development of electric vehicles in recent years, the most mainstream electric vehicle batteries at this stage are lithium batteries. Therefore, this paper selects battery-grade lithium carbonate as the research object. Since lithium is an emerging industry in recent years, this paper also includes iron ore, a traditional industry, as a research object. The companies related to these commodities are selected as samples to investigate the predictive power of their stock prices.
The empirical results indicate that, within a specific in-sample and out-of-sample ratio and forecast period, the related stock prices demonstrate significant predictive ability for commodity prices. However, the predictive ability of lithium battery manufacturers in the sample is statistically insignificant, while lithium miners, iron miners, and steel companies show statistically significant results. There exists a significant positive relationship between related stock prices and commodity prices. When considering the out-of-sample data, the predictive ability of companies related to battery-grade lithium carbonate is superior to that of companies related to iron ore. |
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參考資料
1. mining.com (https://www.mining.com/)
2. elements.visualcapitalist.com (https://elements.visualcapitalist.com/)
3. miningintelligence.com (https://www.miningintelligence.com/)
4. worldsteel.org (https://worldsteel.org/)
5. investing.com(https://www.investing.com/ |
| Description: | 碩士
國立政治大學
財務管理學系
110357035 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0110357035 |
| Data Type: | thesis |
| Appears in Collections: | [財務管理學系] 學位論文
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