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台湾主要上市散装航运公司之股价影响因素之探讨

【中文摘要】:波罗的海综合指数和海运市场有密切关係,由于波罗的海综合指数不仅是散装原物料的运费指数,也是航运业的经济指标,所以本研究主题为波罗的海综合指数是否能成为台股航运股股价走势的领先指标,并探讨与航运运送相关的国际原料指数和台股航运股股价走势之间的关係。本研究以台湾散装航运类股为主体,资料区间横跨金融海啸的时间点,区分为2000年1月到2007年7月和2007年8月到2014年2月这两段区间。
本研究结果显示,1. 在共整合检定后可知金融海啸影响前,波罗的海综合指数、煤炭现货价格与台湾航运类指数具有共整合关係,因其线性组合成为定态,代表波罗的海综合指数、煤炭现货价格与台湾航运类指数具有长期均衡关係。2. 在金融风暴影响后,煤炭现货价格、世界银行穀物指数、世界银行原物料商品价格指数与台湾航运类指数具有共整合关係,因其线性组合成为定态,代表煤炭现货价格、世界银行穀物指数、世界银行原物料商品价格指数与台湾航运类指数具有长期均衡关係。3. 由共整合检定实证结果显示,不论金融海啸影响前后,煤炭现货价格与台湾航运类指数都具有长期均衡关係,由于煤炭现货价格为多数台股散装航运股的领先指标,因此投资人可观察煤炭现货价格走势,做为投资台股散装航运个股时的参考指标。
总结来说,研究前预期与台湾航运类指数高度相关的波罗的海综合指数,在金融海啸影响后失去与台湾航运类指数长期均衡的关係。
【英文摘要】:Baltic dry index (BDI) has a close connection with shipping market. Because BDI is not only a comprehensive freight index of bulk raw materials, but also the economic indicators of the shipping industry, this study focused on whether BDI is a leading indicator in share price movement of Taiwan shipping stocks and exploring the relationship between international raw material indexes related shipping transport and Taiwan shipping stocks. In this study, bulk shipping stocks in Taiwan were used as the main data which crossed a range of time points of the financial tsunami. The range was divided into two parts. One was January 2000 to July 2007; the other was August 2007 to February 2014.
The results of this study are as follows: First, before the financial tsunami, BDI, coal spot price and Taiwan shipping category index had the cointegration relationship between them after the cointergation test. Because their linear combinations were steady-state, BDI, coal spot price and Taiwan shipping category index had the long-run equilibrium relationship. Second, after the financial tsunami, coal spot price, World Bank grain index, World Bank''s commodity price index of raw materials had the cointegration relationship between them after cointergation test. Because their linear combinations were steady-state, coal spot price, World Bank grain index, World Bank''s commodity price index of raw materials had the long-run equilibrium relationship. Third, the conintegration test showed that regardless of timing of the financial tsunami, coal spot price and Taiwan shipping category index had the long-run equilibrium relationship. Because coal spot price is a leading indicator in most Taiwan bulk shipping stocks, the investors can observe the share price movement of coal spot price to be a reference indicator in the investment of Taiwan bulk shipping stocks.
In conclusion, although BDI is anticipated to be highly relevant to Taiwan shipping category index before research, it lost the long-run equilibrium relationship with Taiwan shipping category index after the financial tsunami
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  • 国内文献
  • 来源:中山大学;作者:黄塘詅
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