English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 109952/140891 (78%)
Visitors : 46235734      Online Users : 1112
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/146293
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/146293


    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

    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.
    Reference: Akram, Q.F. (2009). Commodity prices, interest rates and the dollar. Energy Economics, 31(6), 838-851
    Alam, M.M. and G. Uddin (2009). Relationship between Interest Rate and Stock Price: Empirical Evidence from Developed and Developing Countries. International Journal of Business and Management, 4(3), 43-51
    Alexius, A. and D. Spång (2018). Stock prices and GDP in the long run. Journal of Applied Finance & Banking, 8(4), 107-126
    Andries, A.M., I. Ihnatov, and A.K. Tiwari (2014). Analyzing time–frequency relationship between interest rate, stock price and exchange rate through continuous wavelet. Economic Modelling, 41, 227-238
    Campbell, J., and S. Thompson (2008). Predicting excess stock returns out of sample:
    Can anything beat the historical average?. The Review of Financial Studies, 21(4), 1509-31
    Chen, Y., K. Rogoff, and B. Rossi (2010). Can exchange rates forecast commodity
    prices?. The Quarterly Journal of Economics, 125(3), 1145-94
    Chen, S. (2014). Forecasting crude oil price movements with oil-sensitive stocks. Economic Inquiry, 52(2), 830-44
    Chen, S. (2016). Commodity prices and related equity prices. The Canadian Journal of Economics, 49(3), 949-967
    Diebold, F.X., and R.S. Mariano (1995). Comparing predictive accuracy. J. Bus. Econ. Stat. 13, 253–263.
    Faisal, F., P.M. Muhamad, and T. Tursoy (2016). Impact of Economic Growth, Foreign Direct Investment and Financial Development on Stock Prices in China: Empirical Evidence from Time Series Analysis. International Journal of Economics and Financial Issues, 6(4), 1998-2006
    Frankel, J.A. (2014). Effects of speculation and interest rates in a “carry trade” model of commodity prices. Journal of International Money and Finance, 42, 88-112
    Jiang, Y., G. Tian, and B. Mo (2020). Spillover and quantile linkage between oil price shocks and stock returns: new evidence from G7 countries. Financial Innovation, 6(42)
    Kilian, L., and C. Vega (2011). Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices. The Review of Economics and Statistics, 93(2), 660-671
    Rossi, B. (2012). The changing relationship between commodity prices and equity prices in commodity exporting countries. IMF Economic Review, 60(4), 533-69
    Wang, Q., and R. Balvers (2021). Determinants and predictability of commodity producer returns. Journal of Banking & Finance, 133, 278-287
    Wei, P., and Y. Chang (2016). The Relationship between Equity and Commodity Markets during the Credit Crisis. Academia Economic Papers, 44(1), 93-125
    Zhang, Y., and J. Wang (2019) Do high-frequency stock market data help forecast crude oil prices? Evidence from the MIDAS models. Energy Economics, 78, 192-201
    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

    Files in This Item:

    File Description SizeFormat
    703501.pdf1594KbAdobe PDF20View/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