碩士 / 國立高雄第一科技大學 / 金融營運所 / 96 / Steel Industry consumes a great volume of coal and iron ore to produce steel materials, and a prosperous steel market would increase the demand for coal and iron ore which in turn increases the demand for bulk transportation. The emprical anaysis of this study is using Engle & Granger''s (1987) Cointegration and Granger(1969) Causality Test. To investigate the relationship between BDI and stock prices of the public-listed steel companies in Taiwan, this study examines the relationship between the daily closing prices of the local public listed steel companies and daily BDI index series by conducting Unit Root Test and Cointegration, Error Correction Model and Causality Test. The data is taken from the period of 4 January 2000 to 25 October 2007. The empirical results are described as follows:
1.BDI index series and the stock prices of individual public listed steel companies have strong positive correlations, which implis the characteristic of “up and down across the board” effect between the two variables.
2.The cointergration test implies that BDI index is cointegrated with China Steel, First Copper Techonology、Chun Yu、Mayer Steel、Jhang Yuan、Sin Kang、Yeun Chyang The empirical analysis also indicates a long term equilibrium relationship between these stocks and BDI index.
3.Error Correction Model result – when there is a short term impact creating long term disequilibrium, only First Copper Techonology uses BDI index and its stock price to reach long term equilibrium,and the rests were using BDI to maintain the balanced relationship.
4.Granger Causality Test shows the trend of steel share market often takes the lead of BDI index, the reason could be the bulk transportation market delivers a large volume of upper stream raw materials for steel industry, a prosperous steel market will increase the consumption of coal and iron ore, resulting in acceleration in volume. of transportation and gain in bulk transportation index. Hence, the stock prices in steel market normally reflect before BDI index.
| Identifer | oai:union.ndltd.org:TW/096NKIT5667012 |
| Date | January 2008 |
| Creators | Bo-cheng Huang, 黃柏誠 |
| Contributors | Shyan-Rong Chou, 周賢榮 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 68 |
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