碩士 / 長榮大學 / 航運管理學系碩士班 / 101 / This paper investigates the relationship between Taiwan Bulk Shipping Index (TAIBX) and Baltic Dry Index (BDI) using Vector Autoregressive Moving Average Model (VARMA). TAIBX is compiled with the stock prices of six major bulk carriers in Taiwan. The stock prices of each of the six carriers are
also simulated, using TAIBX and BDI. The simulated values and actual values
of the stock prices are then carried out by Root-Mean-Square Percentage Error
(RMSPE) analysis. The empirical results identified a two-way relationship
between TAIBX and BDI indices. Namely, the BDI in one period influences
TAIBX in the subsequent period and the TAIBX in one period also influences
the subsequent BDI. The results show that the total RMPSE value of the TAIBX
is 39.38%, while the total RMSPE value for the BDI is 45.31%, indicating that
the TAIBX is a more suitable index to explain the stock prices of domestic bulk
shipping carriers.
| Identifer | oai:union.ndltd.org:TW/101CJU00301003 |
| Date | January 2013 |
| Creators | Peng-Bai Chen, 陳鵬百 |
| Contributors | Ming-Tao Chou, 周明道 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 112 |
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