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題名:波羅地海乾散貨運價指數與金磚四國股價之關聯性
書刊名:航運季刊
作者:蕭堯仁周恆志
作者(外文):Hsiao, Yao-jenChou, Heng-chih
出版日期:2011
卷期:20:4
頁次:頁1-24
主題關鍵詞:金磚四國BDI指數不對稱門檻共整合門檻誤差修正模型BRICsBDIAsymmetric threshold autoregression modelThreshold error correction model
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(1) 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:1
  • 共同引用共同引用:6
  • 點閱點閱:103
金磚四國經濟高速成長帶動全球原物料的需求與供給,在全球乾散貨的運量需求增加後,波羅地海散裝運價指數 (BDI) 也逐步上漲。本文採用「不對稱門檻共整合」分析與「門檻誤差修正模型」探討 BDI 指數與金磚四國股市之間的領先落後關係,樣本期間為 2001 年至 2010 年。實證結果顯示,BDI 指數與金磚四國間股價指數存在不對稱的長期共整合關係。而在長期因果關係部分,我們發現巴西股價指數與印度股價指數領先 BDI 指數,存在單向領先落後關係;而俄羅斯股價指數及中國股價指數與 BDI 指數之間,則呈現雙向領先落後的關係。
The study examines the relationships between Baltic Dry Index (BDI) and BRICs stock Indexes. Employing the Asymmetric Threshold Autoregression Model (TAR) and the Threshold Error-Correction Model (TECM), we investigate the asymmetric causal relationships between BDI and stock index in BRICs using the daily closing data running from 2001 to 2010. The empirical results demonstrate that BDI and BRICs stock indexes are asymmetric co-integrated. In addition, the results of Granger-Causality tests based on corresponding TECM show that in Brazil and India, the unidirectional causality runs from the stock index to the BDI in the long run. However, the bidirectional causality in Russia and China was found in this study.
期刊論文
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2.溫珮伶、林晉勗、林師模(20081200)。國際原物料價格與散裝海運運價指數之連動及其對運價指數預測之影響。運輸學刊,20(4),351-375。new window  延伸查詢new window
3.Chan, K. S.(1993)。Consistency and Limiting Distribution of the Least Squares Estimator of a Threshold Autoregressive Model。The Annals of Statistics,21(1),520-533。  new window
4.Abdalla, Issam S. A.、Murinde, Victor(1997)。Exchange Rate and Stock Price Interactions in Emerging Financial Markets: Evidence on India, Korea, Pakistan and the Philippines。Applied Financial Economics,7(1),25-35。  new window
5.Cullinane, K.(1995)。A Portfolio Analysis of Market Investments in Dry Bulk Shipping。Transportation Research Part B: Methodological,29(3),181-200。  new window
6.Dickey, D. A.、Fuller, W. A.(1981)。Likelihood ratio statistic for autoregressive time series with a unit root。Econometrics,49(4),1057-1072。  new window
7.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
8.Koekebakker, S.、Adland, R.、Sødal, S.(200609)。Are spot freight rates stationary?。Journal of Transport Economics and Policy,40(3),449-472。  new window
9.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
10.Balke, N. S.、Fomby, T. B.(1997)。Threshold Cointegration。International Economic Review,38(3),627-645。  new window
11.Enders, Walter、Siklos, Pierre L.(2001)。Cointegration and Threshold Adjustment。Journal of Business & Economic Statistics,19(2),166-176。  new window
12.張瀞之、王志敏(20090900)。國際散裝海運市場循環與趨勢特性分析。運輸計劃,38(3),229-245。new window  延伸查詢new window
13.Tian, G. G.、Wan, G.(2004)。Interaction among China-Related Stocks: Evidence from a Causality Test with a New Procedure。Applied Financial Economics,14(1),67-72。  new window
14.周明道、林仕展(20100600)。波羅的海運價綜合指數與鋼價指數相關性之分析--以VAR模型之應用。運輸學刊,22(2),211-232。new window  延伸查詢new window
15.Pippenger, M. K.、Goering, G. E.(1993)。A Note on the Empirical Power of Unit Root Tests under Threshold Processes。Oxford Bulletin of Economics and Statistics,55(4),473-481。  new window
16.Engle, Robert F.、Yoo, Byung Sam(1987)。Forecasting and Testing in Co-Integrated Systems。Journal of Econometrics,35(1),143-159。  new window
17.Enders, W.、Granger, C. W. J.(1998)。Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates。Journal of Business and Economic Statistics,16(3),304-311。  new window
18.Kapetanios, George、Shin, Yongcheol、Snell, Andy(2003)。Testing for a unit root in the nonlinear STAR framework。Journal of Econometrics,112(2),359-379。  new window
19.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
20.Veenstra, A. W.、Franses, P. H.(1997)。A Cointegration Approach to forecasting freight rates in the dry bulk shipping sector.。Transportation Research A,31(6),447-458。  new window
21.Batchelor, R.、Alizadeh, A.、Visvikis, I.(2007)。Forecasting spot and forwardprices in the international freight market。International Journal of Forecasting,14,101-114。  new window
22.Kavussanos, M.G.(1996)。Price risk modelling of different size vessels in the tanker industry。Logistics and Transportation Review,32(2),161-176。  new window
23.Kim, H.G.(2011)。Study about how the Chinese economic status affects to the Baltic Dry Index。International Journal of Business and Management,6(3),116-123。  new window
24.Stock, J.(1987)。Asymptotic properties of leastsquares estimators of cointegrating vectors。Econometrica,55(5),1035-1056。  new window
會議論文
1.張瀞之、林季緯(2009)。波羅的海運價指數與金磚四國股價指數因果關係分析。桃園縣。3309-3326。  延伸查詢new window
學位論文
1.蘇梓勻(2006)。波羅的海運價指數(BDI)與國際市場指數之外溢效果分析(碩士論文)。中原大學。  延伸查詢new window
2.Thorsen I.S.(2010)。Dry Bulk Shipping and Business Cycles(碩士論文)。Norwegian School of Economics and Business Administration, Bergen, Norway。  new window
圖書
1.洪明君(2002)。我國海運業近況與展望。臺北市:臺灣工業銀行。  延伸查詢new window
2.陳永順(2005)。散裝海運經營學理論與實務。臺北市:文笙書局。  延伸查詢new window
3.Granger, C. W. J.、Terävirta, T.(1993)。Modeling Nonlinear Economic Relationships。Oxford University Press。  new window
4.朱雲鵬、王健全、連文榮、馬道、林春壽、陳信宏(2007)。印度崛起。臺北:高寶出版社。  延伸查詢new window
5.Stopford, M.(2009)。Maritime Economics。Routledge。  new window
6.林華德(1988)。證券投資策略。臺北市:聯鳴出版社。  延伸查詢new window
7.Clarkson Research Studies(2009)。Shipping Intelligence Weekly。London:Clarkson PLC。  new window
8.Stopford, M.(2005)。China in Transition: Its Impact on Shipping in the Last Decade and the Next。Shanghai:Marintec。  new window
9.Tong, H.(1983)。Threshold Models in Nonlinear Time Series Analysis。New York:Springer- Verlag。  new window
10.Tong, H.(1990)。Non-linear Time Series: A Dynamic Approach。Oxford:Oxford University Press。  new window
 
 
 
 
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