Analysis of the factors that affect stock return volatility ofTaiwan shipping stocks

• Main Authors: Yueh-Ling Teng, 滕月齡
• Other Authors: Yang-Cheng Lu
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/10600952948390404021

碩士 === 銘傳大學 === 財務金融學系碩士在職專班 === 100 === This paper discusses the impact of the shipping stocks in Taiwan stock return volatility, and the major bulk shipping company in Taiwan (U-Ming Marine,Sincere Navigation,First Steamship,Chinese Maritime,Taiwan Navigation), and the major container shipping companies (Evergreen Marine, Yang Ming, Wan Hai)stock price quarter rate of return based on empirical research, analysis, to identify the outside in addition to oil, the main factors that will affect quarter of remuneration of the aforementioned company''s share price through the time series model. Bulk shipping companies and container shipping companies stock price quarter rate of return is the dependent variable, the Brent crude oil spot, the Baltic Dry freight index, money supply (M1B), the wholesale price index, Taiwan''s gross exports, Taiwan''s imports trade value, the quarterly rate of change in EPS, as well as after-tax return on equity, current ratio, and the end of the quarter, long-term funds to fixed assets ratio value of independent variables, the ADF, PP and KPSS test, and finally Granger causality test. In this study, the sample interval since only the first quarter of 1996 to 2011, the fourth quarter to quarter data for the research units, a total of 2,915 pen data (deducted missing). Conclusively, the empirical results show that, while affecting only the wholesale price index for bulk carriers and container carriers share price quarter rate of return. In addition, bulk carriers share price quarter rate of return is the Baltic Dry freight index, the Brent crude oil spot, the current ratio and earnings per share after-tax profit (one way). The impact of container shipping companies stock price quarter rate of return is Taiwan''s gross exports and gross imports (of each other feedback relationship).