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    Title: 以總體指標作為選股策略之探討~以上市、櫃運輸類股為例
    Other Titles: The study of economic indicators applied to stock choosing - the case of Taiwanese transportation corporations
    Authors: 江信寧;Chiang, Hsin-ning
    Contributors: 淡江大學管理科學研究所碩士班
    倪衍森;Ni, Yen-sen
    Keywords: 運輸業股價指數;向量自我迴歸模型;共整合;雙變量GARCH;Transportation Corporations Stock Indexs;VAR Models;Cointegration;Bivariate Garch
    Date: 2008
    Issue Date: 2010-01-11 03:41:05 (UTC+8)
    Abstract: 本研究主要探討一些常見的經濟指標是否對運輸業股價 指數具有影響,經濟指標主要可分為石油價格以及匯率兩方面,石油可分為西德州原油及布蘭特原油兩類,而匯率方面則包括了美元匯率、歐元匯率以及美元對歐元匯率三類,另外再加上與運輸業具有相當關聯性並且在近年來屢次突破歷史新高的CRB指數以及BDI指數作為變數,研究期間為2005至2007年共685筆日資料,並再將運輸業分為海、陸、空三類個別探討。
      研究結果發現,各類別之運輸業會受到不同經濟指標所影響,意即對整體運輸業有影響的經濟指標對個別運輸業不一定會有影響,並且空運類股指數受到西德州原油之影響最大,而代表散裝運費價格之BDI指數會影響整體運輸業。由共整合分析之結果可知,各運輸業股價指數與多數經濟指標皆呈現長期均衡關係,尤其是空運業類股,代表可藉由觀察經濟指標之走勢,預測上述類股之未來走勢。由多變量GARCH可知BDI指數對於散裝類之外的其他類股指數皆具有負向推升之效果,故雖然本文所探討的經濟指標及各運輸業股價指數在研究期間內內不斷攀高,投資人在進行投資決策時仍應仔細考慮各經濟指標和指數間的相關性,相信對於投資報酬會有更好的提升。
    The study is discussing some common economics indicators whether they will have impact on transportation corporations stock indexs, and the discussed economics indicators include West Texas Intermediate, Brent North Sea crude, TW/US rate, TW/EUR rate, EUR/US rate, CRB index and BDI index. The data are collected with total 685 daily data for the period of January 1, 2005 to December 31, 2007. And separating the transportation corporations into ocean shipping, land transportation and air transportation discussed respectively.
    Our empirical findings are as follows. First, the economics indicators which have impact on the whole transportation corporations stock indexs may not have the same impcact on the individual transportation corporations, and West Texas Intermediate has the strongest influence on the air transportation corporations stock index. Second, the outputs of cointegration infer that all types of transportation corporations stock indexs are in a long-term equilibrium relationship with the majority of economics indicators, especially air transportation stock index. It means we can predict the trend of transportation corporations stock indexs by economics indicators. Third, the outputs of bivariate GARCH model infer that BDI index has a negative impact on all transportation corporations stock indexs, excluding the bulk transportation.
    Despite the economics indicator and the transportation corporations stock indexs discussed in this study are in the upward trend, investor would consider the relationship between the economics indicator and the transportation corporations stock indexs carefully.
    Appears in Collections:[管理科學學系暨研究所] 學位論文

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