An Analysis of Relationship Between Baltic Exchange Dry Index and Stock Price of Major Bulk Carrier Corporate Listed Stock in Taiwan

• Main Authors: Feng-En Tsai, 蔡豐恩
• Other Authors: Wei-Kuo Tseng
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/89599364449873901387

碩士 === 國立臺灣海洋大學 === 商船學系所 === 98 === The study focused on the relationship between Baltic exchange dry index and stock price of bulk carrier corporate listed stock in Taiwan and transportation index, that is, whether the leadership of the so-called leading-following effect and its relationship between stock indexes returns. In this study, the sampling period from January 1 2003 to August 14 2008, the daily data. In order to find the relationship between bulk carrier corporate stock price, Baltic Dry Index and transportation index, the research method is to utilize Vector Error Correction Models (VECM), Granger Causality Test, to proceed to empirical research. The results are as follows: First, the analysis of the interaction between the transportation index and the Baltic exchange dry index, the result is, the Baltic exchange dry index will affect the transportation index. On the contrary, the transportation index will also affect the Baltic exchange dry index. Even though on the composition of the transportation index, airplane corporate such as China Airlines Co. and EVA Air Co., and container shipping corporate such as Yang Ming Co. and Evergreen Marine Co. are influenced by the Baltic Index. Second, the descriptive statistics and trends of First Steamship Co. and Uming Shipping Co. are relatively close, and in the causality test of the two companies and the Baltic index, and transportation stocks index are relevant. Third, on the causality test, the study shows that Sincere Navigation Co. and Eastern Media International share price do not influence the transportation index. The significances of casualty test between the First Steamship Co. share price and, the Transportation Index, the Baltic index respectively comparing with other corporate are the highest.