中國景氣變化下經濟因素對台灣航運類股股價之非線性探討

Non-linear Analysis of the Impact of China Business Fluctuation and Economic Factors on Taiwan Transportation Industry Stock Price

何增耘(Chen-Yun Ho)

指導教授 ： 聶建中

共同指導教授 ： 韋伯韜

淡江大學/商管學院/財務金融學系碩士班/碩士(2015年)

https://doi.org/10.6846/TKU.2015.00836

摘要

近十年來，隨著中國經濟成長，其內需市場也逐漸擴大，使其成為台灣最大貿易交易對手國，隨著與其交易往來頻繁航運類股也因此受惠。而本研究使用非線性平滑移轉迴歸模型，以中國經濟成長率為門檻變數，以中國實質GDP成長率、波羅的海價格指數(BDI)、北海布蘭特原油價格、人民幣匯率、貿易總量做為解釋變數探討其對台灣航運類股股價的影響，研究期間為2004年第一季至2014年第四季，共40筆季資料。
實證結果發現人民幣匯率在不同中國經濟成長率門檻下對於四家航運公司股價皆有顯著的影響。此外，所有經濟因素對市值較大的華航皆有顯著影響，但對市值較小的長榮航則僅有北海布蘭特原油價格、人民幣匯率及貿易總量對其股價有顯著影響。海運類股方面中國經濟成長率、人民幣匯率及BDI指數對於市值較大的長榮海股價有顯著影響，對市值較小的台航僅有人民幣匯率及中國經濟成長率對其股價有顯著影響。

關鍵字

經濟指標 ； 航運類股股價 ； 平滑移轉模型

並列摘要

Because of China’s economy growth in the past ten years, its market demand is getting bigger and bigger. The huge market demand in China attracts many international companies to expend their business and get a lot of benefits from those transactions with China. As one of the neighbor of China, Taiwan does a lot of transactions with it and a lot of companies in different industry also get benefits from those transactions, especially for the transition industry. According to the above description, China’s business cycle is definitely an important influence factor of transition industry company’s performance and its stock price. So this study focuses on how China’s business cycle and others economics factors affect Taiwan transition industry company’s stock price. By using the nonlinear method of smooth transition regression model and use China’s GDP increasing rates to be the threshold variable, this study tries to investigate the nonlinear influence of China’s GDP increasing rate, Brent oil price, BDI index, RMB exchange rate and Total transaction amount on Evergreen Marine corporation, EVA Air, Taiwan Navigation corporation and China Airline’s stock prices. The empirical result shows that the RMB exchange rate has significant positive or negative impact on these four companies no matter in which threshold level, others economic indicators’ influence on these four companies’ stock price are difference from the market value of these four companies. The result shows that in the airline industry, except for RMB exchange rate, the others four economic factors have the significant impact on the company which has bigger market value like China Airline and to the company which has relatively small market value like EVA Air, there are just three economic factors: Brent oil price, RMB exchange rate and Total transaction amount which have significant impact on it. This study got the same result in the maritime industry, there are three economic factors: RMB exchange rate, China’s GDP increasing rate, BDI index have significant impact on Evergreen Marine corporation’s stock price and only two economic factors have significant impact on Taiwan Navigation corporation’s stock price, RMB exchange rate and China’s GDP increasing rate.

並列關鍵字

Economic Indicator ； Transition Industry Companies’ Stock Price ； Smooth Transition Regression

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