碩士 / 國立臺灣海洋大學 / 航運管理學系 / 102 / The bulk shipping market is close to a perfectly competitive market, and single acts of participants in the market are difficult to affect the equilibrium price. Freight rate is the main income of bulk-shipping companies; however, due to its volatility and unpredictability, bulk-shipping companies have to face a great freight rate risk. Because the bulk shipping is mainly used for transporting raw materials, its freight index is closely related to the global economic cycle. Therefore, this study uses the stock indexes of Europe, the US, Japan and China as indicators of the economic cycle, and examines their relationship with Baltic Dry Index (BDI). This study adopts the ADF unit root test to test the data stationarity, and both the asymmetric threshold autoregression model and momentum threshold autoregression model are applied to the threshold integration tests. Finally the Threshold error correction model is used to capture the asymmetric Granger causality between the stock indexes and BDI. If the data is symmetric, an error correction model from Enders and Granger（1998）is applied to analyze the empirical results. The empirical results show that the all stock indexes and BDI are not stationary. Threshold integration tests indicate that there are asymmetric and long-term equilibrium relationships between the stock indexes and BDI. In addition, Granger causality tests show the stock indexes lead BDI in the short run. However, in the long run, stock indexes below the threshold in China and above the threshold in Japan, have two-way interaction causality with BDI, and the stock indexes in US and Europe have a one-way causality.
| Identifer | oai:union.ndltd.org:TW/102NTOU5301040 |
| Date | January 2014 |
| Creators | Yeh, Chia-Yao, 葉家堯 |
| Contributors | Chou, Heng-Chih, 周恆志 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 49 |
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