碩士 / 國立東華大學 / 高階經營管理碩士在職專班 / 98 / Title of Thesis: The Linkages between the Baltic Dry Index, the Commodity Research Bureau Spot Index, Foodstuffs, Textile, Steel, and Transportation Stocks as well as the Associated Indices in the Taiwan Stock Market.
Number of Page:98
Graduate School and University: Graduate school of Business Administration,
National Dong-Hwa University.
Category of Abstract and Graduation Time: Thesis for Master Degree, The Second
Semester, and 2009 Academic Year.
Name of Student: Peng, Chun-Wen
Adviser: Dr. Chiao, Chaoshin
Abstract
This research is to study the relations between the Baltic Dry Indices (BDI), the Commodity Research Bureau Spot indices（CRB）, foodstuffs, textile, steel, and transportation stocks as well as the associated indices in the Taiwan stock market. Using monthly data from September 1998 to April 2009 totaling 128 months amounted and daily data from the September 20 1999 to April 16 2009 totaling 2231 days, we examine the lead-lag relations between the highs and the lows of the selected indices during business cycle. Profitability analysis and Linear Regression analyze. In order to improve the applicability of this research, we also study the behaviors of the top three most capitalized stocks in every industry associated with the selected indices.
Our evidence shows, first, that the CRB and the BDI are lagging indicators over expansions, but not obvious over contractions. Second, the CRB and the BDI are not highly correlated with the selected indices except the steel index. Third, the Pearson coefficient correlation over contractions of the business cycle is higher than that over expansions of business cycle. Finally, the predictability of stock returns over contractions of the business cycle is better than that over expansions of the business cycle.
| Identifer | oai:union.ndltd.org:TW/098NDHU5457029 |
| Date | January 1900 |
| Creators | Chun-Wen Peng, 彭君文 |
| Contributors | Chaoshin Chiao, 蕭朝興 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 98 |
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