國際原油價格對台灣海運業股價之影響

The Impact of Crude Oil Price on Shipping Stock Prices in Taiwan

鄭光宏(Kuang-Hung Cheng)

指導教授 ： 聶建中

淡江大學/商管學院/淡江大學暨澳洲昆士蘭理工大學財金全英語雙碩士學位學程/碩士(2021年)

https://doi.org/10.6846/TKU.2021.00476

摘要

本研究探討國際原油價格對台灣海運業股價之影響，採用Granger and Teräsvirta (1993)和Teräsvirta (1994)所提出之平滑移轉迴歸模型檢定方法，以杜拜原油價格作為門檻變數，從非線性角度觀察國際原油價格波動和台灣貨櫃航運與散裝航運之間的關係，並分析杜拜原油現貨價格、美元兌新台幣匯率、波羅的海綜合指數(BDI)和金融業隔夜拆款利率等變數對兩家海運公司是否有正向或負向影響。本研究之實證結果發現，杜拜原油現貨價格對長榮海運股價和裕民海運股價之影響皆不顯著，而美元對台幣匯率對於長榮海運股價和裕民海運股價皆存在顯著正向影響。另外，當杜拜原油價格維持在約60.8893美元/桶或低於55.8581美元/桶時，波羅的海綜合指數分別對長榮海運股價和裕民海運股價有顯著之正向影響；當油價高於55.8581美元/桶時，運價指數對裕民海運股價有負面影響。最後，金融業隔夜拆款利率則對長榮海運股價影響不顯著，但在杜拜原油現貨價格小於或大於55.8581美元/桶時，金融業隔夜拆款利率分別對裕民海運股價有負向和正向影響。

關鍵字

原油價格 ； 海運業股價 ； 非線性 ； 平滑移轉迴歸模型

並列摘要

This study examines the impact of Dubai crude oil price on the stock prices of Evergreen Marine and U-ming Marine. Using the smooth transition autoregressive model (STAR) proposed by Granger and Teräsvirta (1993) and Teräsvirta (1994) with Dubai crude oil price as the threshold variable, to observe if there is a non-linear relationship between the shipping stock prices and the dependent variables, such as Dubai crude oil price, the exchange rate (USD/NTD), Baltic dry index(BDI) and overnight interbank call-loan rate. The results show that Dubai crude oil price has no significant impact on both Evergreen’s and U-ming’s stock prices, whereas the exchange rate (USD/NTD) has a significant positive impact on both shipping stocks. In addition, when the crude oil price remained at nearly US$60.8893 per barrel or below US$55.8581 per barrel, the BDI has a significant positive impact on both shipping stock prices, respectively. However, when oil prices were higher than US$55.8581 per barrel, the BDI has a negative impact on the U-ming’s stock price. Finally, the overnight interbank call-loan rate has no significant impact on Evergreen’s share price, but the influences show differently on U-ming’s share price, a negative and positive impact respectively, as the spot price of Dubai crude oil is less than or greater than US$55.8581 per barrel.

並列關鍵字

Crude Oil Price, Shipping Stock Price, Non-linear, Smooth Transition Autoregression Model

參考文獻

參考文獻

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