新冠疫情前後之台灣海運業股價報酬率分析

本研究探討在新冠疫情下，台灣上市貨櫃及散裝航運公司股價報酬率與上海出口集裝箱運價指數(SCFI)、波羅的海乾散裝指數(BDI)報酬率之關聯性變動情形。研究樣本涵蓋台灣上市貨櫃航運公司長榮、陽明、萬海及台灣上市散裝航運公司慧洋、裕民、台航。樣本期間採用2019年1月1日至2021年12月31日的週資料。本研究分成兩部份，第一部分採用AR-GARCH 模型進行關聯性實證分析，探討台灣上市貨櫃航運產業受上海出口集裝箱運價指數及散裝航運產業受波羅的海綜合運價指數波動影響並選取各項經濟變數及活動指數，包含匯率、航運準班率、布蘭特原油價格、標準普爾500，以及採用COVID-19每日新增病例數等變數探討其變數變動率對股價報酬率之關聯性。第二部分選取上海出口集裝箱運價指數及波羅的海綜合運價指數作為運費指標，並且選取上述各項經濟變數及活動指數，再對變數做ADF單根檢定、共整合檢定及誤差修正模型，並且採用格蘭傑因果關係檢定來探討各項指數及疫情對海運運價的因果關係。

關鍵字

台灣海運股價； COVID-19 ； AR-GARCH ；格蘭傑因果關係檢定

並列摘要

The purpose of this study is to explore the correlation between the stock price returns of Taiwan container companies and Taiwan bulk shipping companies and the rate of returns of Shanghai Export Container Freight Index (SCFI) and Baltic Dry Bulk Index (BDI) under the COVID-19 . The research sample covers Taiwan container companies (Evergreen, Yang Ming, Wan Hai) and Taiwan bulk shipping companies (Huiyang, Yumin, Taiwan Airlines). The sample period uses the weekly data from January 1, 2019 to December 31, 2021. This study is divided into two parts. The first part uses AR-GARCH model to conduct empirical correlation analysis, discuss the impact of Taiwan container shipping industry on SCFI and Taiwan bulk shipping industry impact on the BDI and select various economic variables and activity indices, including Exchange rates, Global liner report, Brent oil prices, Standard Poor's 500, and the daily number of new COVID-19 cases to explore the degree of correlation between its rate of returns, the second part selects Shanghai Export Container Freight Index and Baltic Dry Bulk Index as freight indicators, and selects the above economic variables and activity indices, and then performs Augmented Dickey-Fuller Test, cointegration test and error correction model for the variables, and uses the Granger causality test to explore the various Index and the causal relationship between the epidemic and ocean freight rates.