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題名:時間序列方法探討波羅的海綜合運價指數與運輸類股之研究--以美國與臺灣為研究對象
書刊名:臺灣銀行季刊
作者:張瀞之 引用關係劉錫謙
出版日期:2010
卷期:61:2
頁次:頁191-207
主題關鍵詞:綜合運價指數運輸類股
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(3) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:3
  • 共同引用共同引用:0
  • 點閱點閱:31
本研究以波羅的海綜合運價指數為主體,針對傳統產業之散裝航運業探討臺灣運輸類股指數、臺灣上市散裝航運公司股價與美國運輸類股指數間之互動關係。本研究採時間序列之單根檢定、共整合檢定與Granger 因果關係檢定等研究方法,實證顯示經由單根檢定發現所有研究變數屬非穩態,指數和股價呈現隨機漫步之走勢,經過一階差分後,即呈現恆定狀態;透過Johansen 共整合檢定,發現變數間具有長期之均衡關係,代表長期而言變數會往均衡方向調整,短期之動態關係本文以向量誤差修正模型(VECM)修正;最後,Granger 因果關係檢定發現代表國際散裝價格之波羅的海綜合運價指數與美國運輸類股均領先臺灣運輸類股指數與股價。本文提供航商與投資者可利用波羅的海綜合運價指數之走勢來預測股價變化,以降低營運與投資風險。
期刊論文
1.Wongbangpo, P.、Sharma, S. C.(2002)。Stock market and macroeconomic fundamental dynamic interactions: ASEAN-5 countries。Journal of Asian Economics,13(3),27-51。  new window
2.Tvedt, J.(2003)。A New Perspective on Price Dynamics of the Dry Bulk Market。Maritime Policy and Management,30(3),221-230。  new window
3.Alizadeh, A. H.、Nomikos, N. K.(2007)。Investment timing and trading strategies in the sale and purchase market for ships。Transportation Research Part B: Methodological,41(1),126-143。  new window
4.Veenstra, A. W.、Franses, P. H.(1997)。A Co-integration Approach to Forecasting Freight Rates in the Dry Bulk Shipping Sector。Transportation Research Part A: Policy and Practice,31(6),447-458。  new window
5.Syriopoulos, T.(2007)。Dynamic linkages between emerging European and developed stock markets: Has the EMU any impact?。International Review of Financial Analysis,16,41-60。  new window
6.Ghosh, Asim(1999)。Who Moves the Asia-Pacific Stock Markets--US or Japan? Empirical Evidence Based on the Theory of Cointegration。The Financial Review,34(1),159-170。  new window
7.Cheung, Y. L.、Mak, S. C.(1992)。The International Transmission Of Stock Market Fluctuation Between the Developed Markets and the Asian Pacific Markets。Applied Financial Economics,2(1),43-47。  new window
8.Kavussanos, M. G.、Nomikos, N. K.(2003)。Price discovery, causality and forecasting in the freight futures market。Review of Derivatives Research,6(3),203-230。  new window
9.Koekebakker, S.、Adland, R.、Sødal, S.(200609)。Are spot freight rates stationary?。Journal of Transport Economics and Policy,40(3),449-472。  new window
10.Batchelor, R.、Alizadeh, A.、Visvikis, I.(2007)。Forecasting spot and forward prices in the international freight market。International Journal of Forecasting,23(1),101-114。  new window
11.Kavussanos, M. G.、Visvikis, I. D.(2004)。Market Interactions in Returns and Volatilities between Spot and Forward Shipping Freight Markets。Journal of Banking and Finance,28(8),2015-2049。  new window
12.Nikkinen, J.、Sahlström, P.(2004)。International transmission of uncertainty implicit in stock index option prices。Global Finance Journal,15,1-15。  new window
13.Bailey, W.、Stulz, R. M.(1990)。Benefits of International Diversification: The Case of Pacific Basin Stock Market。Journal of Portfolio Management,16,57-61。  new window
14.Elyas, E.、Perera, P.、Tribhuvan, N. P.(1998)。Interdependence and dynamic linkage between stock markets of Sri Lanka and its trading partners。Journal of Multinational Financial Management,8,89-101。  new window
15.Granger, C. W. J.(1969)。Investigating Causal Relation by Econometric Model and Cross-Spectral Method。Econometric,36,424-438。  new window
16.Hammoudeh, S.、Dibooglu, S.、Aleisa, E.(2004)。Relationships among oil prices and oil industry equity indices。International Review of Economics and Finance,27,427-453。  new window
17.Yang, J.、Guo, H.、Wang, Z.(2006)。International transmission of inflation among G-7 countries: A data-determined VAR analysis。Journal of Banking & Finance,20,2681-2700。  new window
18.Johansen, Soren、Juselius, Katarina(1990)。Maximum Likelihood Estimation and Inference on Cointegration: with Application to the Demand for Money。Oxford Bulletin of Economics and Statistics,52(2),169-210。  new window
19.Eun, Cheol S.、Shim, Sangdal(1989)。International Transmission of Stock Market Movements。Journal of Financial and Quantitative Analysis,24(2),241-256。  new window
20.Engle, Robert F.、Granger, Clive W. J.(1987)。Co-integration and Error Correction: Representation, Estimation, and Testing。Econometrica: Journal of the Econometric Society,55(2),251-276。  new window
21.Dickey, David A.、Fuller, Wayne A.(1979)。Distribution of the Estimators for Autoregressive Time Series With a Unit Root。Journal of the American Statistical Association,74(366),427-431。  new window
22.Phillips, Peter C. B.、Perron, Pierre(1988)。Testing for a unit root in time series regression。Biometrika,75(2),335-346。  new window
圖書
1.Fuller, W.(1976)。Introduction to Statistical Time Series。New York:John Wiley。  new window
2.Banerjee, A.、Dolado, J. J.、Galbraith, W.、Hendry, D. F.(1993)。Cointegration, Error Correction, and the Econometric Analysis of Non-stationary Data。New York:Oxford University Press。  new window
3.Enders, Walter(2004)。Applied Econometric Time Series。New York:John Wiley & Sons。  new window
 
 
 
 
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