- 學位論文
波羅的海綜合運價指數與鋼價指數對國內不定期航運上市公司股價連動分析
An Analysis of the Effective of Listed tramp Shipping Company between Baltic Dry Index and Steel Price Index
摘要
散裝航運所承載的貨物以基礎原物料為主，因此生產與需求結構改變便會影響到整體散裝航運市場的表現。我們通常會利用波羅的海綜合運價指數的走勢來代表散裝航運市場的現況並進行分析，從分析出的資訊用以判別目前散裝航運景氣的榮枯。本文主要探討當波羅的海綜合運價指數和全球鋼價指數發生變動時，對於國內散裝航運公司的股價所造成的影響程度，並且利用時間序列分析方法找出之間的因果關係，藉由模式的結果分析出此兩項指標對散裝航運公司股價的領先與落後的關係，結果發現，在BDI對CRU以及對台灣五家散裝航運公司股價所存在的最佳模式都有所不同，反而在針對CRU對台灣五家散裝航運公司而言，卻都存在同一種最佳模式，皆為VARMA(2, 1)。除此之外，本文將台灣航運類股指數與BDI及CRU進行三個指數的連動分析，了解彼此之間是否有確切的影響效果，由實證分析發現，台灣航運類股指數並不會受到自己本身、BDI以及CRU的影響，反而BDI與CRU會受到自己及彼此之間的影響。本研究希冀藉由所尋找出的領先落後關係，以利幫助散裝航運公司或是投資者在面對未來市場決策時可以有所依據，進而降低投資風險所造成的損失。
並列摘要
The bulk shipping’s main cargo are raw materials, hence the structural changes in supply and demand will influence the performance of the overall bulk shipping market. We usually use the Baltic Dry Index (BDI) to represent the movement of bulk shipping market, analyze the current situation, and determine the fate of the bulk shipping boom. In this article, we apply VARMA to analysis the effective of listed tramp shipping company between BDI and steel price index. In this paper we reach three results. The first result reveals that the VARMA (2, 1) has the best RMSPE between listed tramp shipping company and steel price index. No-unique models exist between BDI and steel price index in the second result. Finally, we show the effect relation of listed tramp shipping company between BDI and steel price index. This research is intended to provide bulk shipping market participants with new direction for entering or exiting bulk shipping market.