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| Title: | 航運運價指數與台灣上市貨櫃航運公司股價關聯性之研究
A study of the correlation between the shipping freight index and the stock price of taiwanese listed container shipping companies |
| Authors: | 徐瑋
Hsu, Wei |
| Contributors: | 林信助
徐瑋
Hsu, Wei |
| Keywords: | 中國出口集裝箱運價指數
上海出口集裝箱運價指數
波羅的海乾散貨指數
貨櫃航運股價
CCFI
SCFI
BDI
Container shipping company |
| Date: | 2018 |
| Issue Date: | 2018-08-10 10:25:33 (UTC+8) |
| Abstract: | 過去許多文獻發現代表散裝運價的波羅的海指數 (BDI) 與部份台灣上市散裝航運公司股價具有長期穩定關係及具有預測之能力，因此建議可以透過觀察波羅的海指數投資未來台灣上市散裝航運公司，然尚未有文獻探討貨櫃運價指數與台灣上市貨櫃航運股價之間是否也存在類似的關係。本文以中國出口集裝箱運價指數 (CCFI) 與上海出口集裝箱運價指數 (SCFI) 這兩大貨櫃運價指數為研究對象，透過單根檢定、Johansen共整合檢定、向量誤差修正模型、VAR以及Granger因果檢定探討這兩大指數與台灣三大上市貨櫃航運公司：長榮海運、陽明海運、萬海航運之間是否存在長期均衡關係，是否貨櫃航運指數對於台灣上市貨櫃航運公司股價具有預測能力。本文實證結果發現，存在於過去散裝運價指數與台灣上市散裝航運公司股價間的關係並不存在於貨櫃運價指數 (CCFI、SCFI) 與台灣上市貨櫃航運公司股價間，推測可能乃市場型態、公司規模、資料頻率不同所致。另外，本研究也發現波羅的海指數並不能幫助預測台灣上市貨櫃航運公司股價，證實部分媒體以「散裝」運價指數預測「貨櫃」航運公司經營狀況實為一謬誤。本研究進一步探討加入台灣加權股價指數變化率與布蘭特油價變化率後之結果，其與未加入前一致。
There is a great deal of research finding out that Baltic Dry Index, a bulk freight index, has a cointegration relationship with some Taiwan listed bulk shipping company’s stock price. Besides, BDI does Granger cause those stock price, which means the change of BDI is useful to predict the change of stock price. Thus, investor could invest Taiwan listed bulk shipping company by taking the BDI into consideration. There is no research about the relationship between container freight index and Taiwan listed container shipping company’s stock price yet. The purpose of this study is to examine the relationship among the China Containerized Freight Index, Shanghai Containerized Freight Index and Stock Price of Evergreen Marine Corp., Yang Ming Marine Transport Corp., Wan Hai Lines Ltd. The empirical results show that the relationship between bulk freight index and Taiwan listed bulk shipping company’s stock price does not exist in the container freight index (CCFI&SCFI) and Taiwan listed container shipping company’s stock price. It could result from the difference in data frequency, company size and market type. This study also proves it’s wrong to predict the Taiwan listed container shipping company’s stock price with dry bulk freight index. This study also gets the same results while taking TAIEX and Brent crude price into consideration. |
| Reference: | 中文部份
上海航運交易所（2018）。檢自：http://www.sse.net.cn/home
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西文部份
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| Description: | 碩士
國立政治大學
國際經營與貿易學系
105351045 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0105351045 |
| Data Type: | thesis |
| DOI: | 10.6814/THE.NCCU.IB.028.2018.F06 |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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