博碩士論文 993202090 完整後設資料紀錄

DC 欄位 語言
DC.contributor土木工程學系zh_TW
DC.creator郭哲榮zh_TW
DC.creatorJerome Kuoen_US
dc.date.accessioned2015-7-21T07:39:07Z
dc.date.available2015-7-21T07:39:07Z
dc.date.issued2015
dc.identifier.urihttp://ir.lib.ncu.edu.tw:88/thesis/view_etd.asp?URN=993202090
dc.contributor.department土木工程學系zh_TW
DC.description國立中央大學zh_TW
DC.descriptionNational Central Universityen_US
dc.description.abstract本研究探討散裝航運市場中台灣市場、中國大陸市場、波羅的海指數三者間 指數和股價間的互相影響關係。依據單根檢定、共整合檢定後所得之資料特性,予以適配多變數時間序列模型,適配模型後探討模型內指數和股價間領先落後的Granger 因果關係、衝擊反應函數(IRF)顯示的結果、預測誤差的變異數(FEV)的組成情形及比較不同模型間預測的效率。最後後依據探討結果予以投資散裝航運股價之建議。 實證結果台灣、中國大陸散裝航運股價、BDI 指數皆為具單根之非定態序列。 台灣市場、中國大陸市場、波羅的海指數三者間雖無共整合關係,但存在短期均衡關係(適配VAR 模型);台灣市場內7 家散裝航運股價、中國大陸市場內8 家散裝航運股價則各自有1 組共整合關係(適配VECM 模型),因此雖然短期內無關係,但長期而言市場內有亦步亦趨之長期共整合關係。 依據Granger 因果關係檢定,投資CN 市場可先行參考BDI 指數;投資台灣散裝航運股,可以依序先參考DH(達和)、SNC(新興)、SW(四維航)股價趨勢;投資中國大陸散裝航運股,可以先參考CSDS(中海發展)及COSCO(ST*遠洋)股價趨勢作為參考。zh_TW
dc.description.abstractThe purpose of this study is to examine the r elationship among theindices of BDI, China and Taiwan。By using the method of unit root test、cointegration test to obtain the data character for fitting suitable multiple variable time series model(like VAR or VECM)。After fitting the suitable model,using the the method of Granger causality test、Impluse Response function(IRF)、 Forecast error variance decomposition(FEV) toshow the relationsip among all variables。 By experiment,all the indices or stock price of BDI,China,Taiwan bulk shipping market are non-stationary time series.There has no cointegration relation between BDI、CN_BULK and TW_BULK(fitting VAR model)。There has one cointegration relation among the China bulk shipping market(8companies) the so do the taiwan bulk shipping market(7 compaines) (fittingVAR model)。 In adition, from Granger causality test,this paper also suppost some suggesting to investeing stock strategies,like that the indices of BDI lead the CN_BULK. Taiwan bulk shipping market:the stock price of DH leads SNC, the stock price of SNC leads SW. China bulk shipping market:the stock price of DH leads SNC, the stock price of SNC leads SW. China bulk shipping market :the stock price of CSDS and COSCO lead the other company stock price.en_US
DC.subject波羅的海乾貨指數zh_TW
DC.subject散裝航運zh_TW
DC.subject單根zh_TW
DC.subject共整合zh_TW
DC.subjectGranger 因果zh_TW
DC.subject向量自我迴歸zh_TW
DC.subject向量誤差修正模型zh_TW
DC.subject預測誤差變異數分解zh_TW
DC.subject衝擊反應函數zh_TW
DC.subjectBDIen_US
DC.subjectBulk shipping marketen_US
DC.subjectUnit rootCointegrationen_US
DC.subjectGranger Causalityen_US
DC.subjectVAR VECMen_US
DC.subjectIRF FEVen_US
DC.title散裝航運市場指數模型之建立及預測---以台灣、中國及BDI指數為例zh_TW
dc.language.isozh-TWzh-TW
DC.titleThe building and forecasting on simultaneous price models in bulk shipping market –the price-fitting model among the indices of BDI , China , Taiwanen_US
DC.type博碩士論文zh_TW
DC.typethesisen_US
DC.publisherNational Central Universityen_US

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