碩士 / 國立高雄海洋科技大學 / 航運管理研究所 / 95 / This study explores the nature of interaction and seasonality from the volatility of Baltic Dry Index and Taiwanese listed bulk shipping companies stock price, the observation including five of Taiwanese listed bulk shipping companies, Baltic Capesize Index, Baltic Panamax Index, and Baltic Supramax Index is presented. This study makes use of the measures AR-GARCH model and SARIMA model, research is a daily data from January 2000 to December 2006. The result shows that stock return volatility of Taiwanese listed bulk shipping companies influenced by Baltic Dry Index return volatility, and the affection is most significant with the fleet structure,
such as present freighter and short-term contract. In addition, we also found that Baltic Dry Index and stock return exhibit the relationship of seasonal pattern, return of larger vessels exhibit higher seasonal fluctuations compared to smaller vessels, as for stock return seasonal peak in first and fourth quarter but trough in third. Final, the research of VECM model finds that the Baltic
Dry Index returns volatility and stock price volatility exist co-integration; the index volatility is in the lead, furthermore, stock price volatility transfers faster. To comprehend the character between index and stock price in bulk shipping market will help for shipping companies and investor such as operation advice in bulk market.
| Identifer | oai:union.ndltd.org:TW/095NKIM8301001 |
| Date | January 2007 |
| Creators | Yang,Ting-Yen, 楊婷雁 |
| Contributors | CHANG,CHING-CHIH & HSIEH,CHIN-YUAN, 張瀞之,謝金原 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 102 |
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