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    題名: 金融危機下散裝海運產業波動傳導對航運類股之影響
    The Impact of Dry Bulk Shipping Industry Volatility Diffusion on Shipping Stock Index in Financial Crisis
    作者: 王守杰
    Wang, Shou Jie
    貢獻者: 林靖
    Lin, Jing
    王守杰
    Wang, Shou Jie
    關鍵詞: BEKK-GARCH模型
    傳遞熵
    波羅的海乾散貨運價指數
    金融傳導
    金融海嘯
    日期: 2016
    上傳時間: 2016-07-01 15:23:27 (UTC+8)
    摘要: 本研究用金融傳導的角度，從散裝海運產業切入，利用標普高盛商品指數、加權遠期運費協議指數、波羅的海運費指數、道瓊全球航運指數以及美元指數，以傳遞熵與BEKK-GARCH模型，探討2008年3月至2016年3月之散裝海運產業金融傳導因子，在多次金融危機中，散裝海運產業金融傳導因子的領先落後關係、短期報酬外溢效果與長期波動傳遞效果，以及對航運類股之影響。
    本研究成果可從投資策略與經濟意涵兩方面呈現，在投資策略上，根據實證結果，在金融危機期間，資訊從道瓊全球航運指數流向波羅的海乾散貨運價指數，再流向加權遠期運費協議指數，代表股票市場領先運費市場，而運費市場又領先遠期運費協議市場，而每個期間的加權遠期運費協議指數對波羅的海乾散貨運價指數皆為正向顯著關係，波羅的海乾散貨運價指數與道瓊全球航運指數間皆為雙邊正向顯著關係，本研究建議預測波羅的海乾散貨運價指數的散裝海運產業業者與投資人，可以道瓊全球航運指數與加權遠期運費協議指數作為先行指標。
    在經濟意涵方面，根據實證結果，金融危機期間，金融市場動盪程度提高，連帶影響散裝海運運價價格波動劇烈，使得散裝海運產業業者與投資人的避險需求提升，由於波羅的海乾散貨運價指數為散裝海運產業業者的每日報價，並非金融市場交易之結果，故散裝海運產業業者與投資人可以參考商品市場、股票市場、外匯市場及運費市場的資訊進行避險操作。
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    描述: 碩士
    國立政治大學
    經濟學系
    103258001
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0103258001
    資料類型: thesis
    顯示於類別:[經濟學系] 學位論文

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