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    Title: 波羅的海指數和台灣上市散裝航運股的關係探討 : 馬可夫模型分析之應用
    Other Titles: Explore the relationship between the baltic index and bulk shipping stocks listed in Taiwan : Markov model analysis applications
    Authors: 江彥志;Ghiang, Yen-Chin
    Contributors: 淡江大學財務金融學系碩士班
    陳玉瓏;Chen, Yu-Long
    Keywords: 波羅的海指數;BDI指數;散裝航運;多變量馬可夫向量自我迴歸;Granger因果關係;Baltic Dry Index;BDI Index;bulk shipping;multivariate Markov vector autoregression;Granger Causality
    Date: 2014
    Issue Date: 2015-05-04 09:43:53 (UTC+8)
    Abstract: 本研究旨在探討波羅的海指數及散裝航運產業的股價之關係,利用馬可夫向量自我迴歸模型(MS-VAR)進行景氣循環轉折之預測,本研究所得到的最適預測模型為截距項、回歸項係數、共變異數皆隨狀態改變的MSIAH(2)-VAR(4)模型。而個股股價和波羅的海指數的最佳模型分別為:益航為MSIAH(2)-VAR(2)模型;新興為MSIAH(2)-VAR(3)模型;裕民為MSIAH(2)-VAR(8)模型;中航為MSIAH(2)-VAR(1)模型;東森為MSIAH(2)-VAR(2)模型;台航為MSIAH(2)-VAR(3)模型;四維航為MSIAH(2)-VAR(4)模型。以此最適模型為基礎,討論波羅的海指數和散裝航運股的Granger因果關係,發現若處於收縮狀態,波羅的海指數和加權指數互有Granger因果關係;如果處於擴張狀態,波羅的海指數和加權指數亦互有Granger因果關係。在收縮期波羅的海指數和益航股價互沒有Granger因果關係;而在擴張期時,波羅的海指數和益航股價互有Granger因果關係。在收縮期波羅的海指數對新興股價沒有Granger因果關係,而新興股價對波羅的海指數有Granger因果關係;而在擴張期時,波羅的海指數對新興股價沒有Granger因果關係,而新興股價對波羅的海指數有Granger因果關係。在收縮期波羅的海指數和裕民股價互有Granger因果關係;而在擴張期時,波羅的海指數和裕民股價互有Granger因果關係。在收縮期波羅的海指數對中航股價有Granger因果關係,而中航股價對波羅的海指數沒有Granger因果關係;而在擴張期時,波羅的海指數對中航股價沒有Granger因果關係,而中航股價對波羅的海指數有Granger因果關係。在收縮期波羅的海指數對東森股價沒有Granger因果關係,而東森股價對指波羅的海數有Granger因果關係;而在擴張期時,波羅的海指數對東森股價沒有Granger因果關係,而東森股價對波羅的海指數有Granger因果關係。在收縮期波羅的海指數對台航股價有Granger因果關係,而台航股價對波羅的海指數沒有Granger因果關係;而在擴張期時,波羅的海指數和台航股價互沒有Granger因果關係。在收縮期波羅的海指數對四維航股價有Granger因果關係,而四維航股價對波羅的海指數沒有Granger因果關係;而在擴張期時,波羅的海指數對四維航股價沒有Granger因果關係,而四維航股價對波羅的海指數有Granger因果關係。
    This study investigated the relationship between BDI index and the price of shipping bulk shipping industry in the BDI index carriers with a comprehensive, Markov vector autoregression model (MS-VAR) to predict cyclical turning point, the optimal prediction model obtained in this study was cross-sectional items from the regression coefficient of variance withstate changes are MSIAH (2)-VAR (4) model.The stock price and the best model of the BDI index were:Yi Hang is MSIAH(2)-VAR(2) model;Xin Xing as MSIAH(2)-VAR(3) model;Yu Min for MSIAH(2) -VAR(8)model;Zhong Hang is MSIAH (2)-VAR(1) model;Dong Sen for MSIAH(2) -VAR(2) model;Tai Hang is MSIAH(2) -VAR(3) model;Si Wei Hang for MSIAH(2) -VAR(4)model.On the basis of those optimal models,this discuss Granger causality between BDI index and bulk shipping stocks. if contraction, the BDI index and weighted index have mutual causality;If the expanded state, the BDI index and the weighted index also have mutual Granger causality relations.If contraction,BDI index and the price of Yi Hang have no mutual Granger causality relations;If the expanded state,BDI index and the price of Yi Hang have mutual Granger causality relations.If contraction,BDI index is not causal relationship to the price of Xin Xing,Xin Xing is causal relationship to BDI index;If the expanded state,BDI index and the price of Xin Xing have mutual Granger causality relations. If contraction,BDI index and the price of Yu Min have mutual Granger causality relations;If the expanded state,BDI index and the price of Yu Min have mutual Granger causality relations.If contraction,BDI index is causal relationship to the price of Zhong Hang,the price of Zhong Hang is not causal relationship to BDI index;If the expanded state, BDI index is not causal relationship to the price of Zhong Hang,the price of Zhong Hang is causal relationship to BDI index.If contraction,BDI index is not causal relationship to the price of Dong Sen,the price of Dong Sen is causal relationship to BDI index;If the expanded state, BDI index is not causal relationship to the price of Dong Sen,the price of Dong Sen is causal relationship to BDI index. If contraction,BDI index is causal relationship to the price of Tai Hang,the price of Tai Hang is not causal relationship to BDI index;If the expanded state, BDI index and the price of Tai Hang have no mutual Granger causality relations.If contraction,BDI index is causal relationship to the price of Si Wei Hang,the price of Si Wei Hang is not causal relationship to BDI index;If the expanded state, BDI index is not causal relationship to the price of Si Wei Hang,the price of Si Wei Hang is causal relationship to BDI index.
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Thesis

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