碩士 / 樹德科技大學 / 金融與風險管理系碩士班 / 99 / This research is to investigate the dynamic linkage between the stock price indexes of Taiwan listed transportation companies, under the influence of some important exogenous variables, such as the oil price,foreign exchange rate, BDI index and U.S.Dow Jones industrial index,by Rabheck and Mosconi(1998)’ s cointegratiion test, Granger (1969) causality test and Pesaran and Shin(1998)’s generalized impulse respones. Our empirical results show that: first , there is a long-term equilibrium relationship between the stock price index of the land ,ocean and air transportation industies . Moreover , the land and air ones Granger cause each other. The ocean one has a significant impact on the air and land ones . Finally , in addition the negative impact between the ocean and air ones , other impacts are all positive.,The half lives are about one to two months, and the respones decay to some permanent levels after three to fourty months.
| Identifer | oai:union.ndltd.org:TW/099STU05218057 |
| Date | January 2011 |
| Creators | Fang-Lan Wu, 吳芳蘭 |
| Contributors | Tzu-Wei Wang, 王子維 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 55 |
Page generated in 0.0138 seconds