碩士 / 淡江大學 / 財務金融學系碩士班 / 102 / This study investigated the relationship between BDI index and the price of shipping bulk shipping industry in the BDI index carriers with a comprehensive, Markov vector autoregression model (MS-VAR) to predict cyclical turning point, the optimal prediction model obtained in this study was cross-sectional items from the regression coefficient of variance withstate changes are MSIAH (2)-VAR (4) model.The stock price and the best model of the BDI index were:Yi Hang is MSIAH(2)-VAR(2) model；Xin Xing as MSIAH(2)-VAR(3) model；Yu Min for MSIAH(2) -VAR(8)model；Zhong Hang is MSIAH (2)-VAR(1) model；Dong Sen for MSIAH(2) -VAR(2) model；Tai Hang is MSIAH(2) -VAR(3) model；Si Wei Hang for MSIAH(2) -VAR(4)model.On the basis of those optimal models,this discuss Granger causality between BDI index and bulk shipping stocks. if contraction, the BDI index and weighted index have mutual causality;If the expanded state, the BDI index and the weighted index also have mutual Granger causality relations.If contraction,BDI index and the price of Yi Hang have no mutual Granger causality relations；If the expanded state,BDI index and the price of Yi Hang have mutual Granger causality relations.If contraction,BDI index is not causal relationship to the price of Xin Xing,Xin Xing is causal relationship to BDI index；If the expanded state,BDI index and the price of Xin Xing have mutual Granger causality relations. If contraction,BDI index and the price of Yu Min have mutual Granger causality relations；If the expanded state,BDI index and the price of Yu Min have mutual Granger causality relations.If contraction,BDI index is causal relationship to the price of Zhong Hang,the price of Zhong Hang is not causal relationship to BDI index；If the expanded state, BDI index is not causal relationship to the price of Zhong Hang,the price of Zhong Hang is causal relationship to BDI index.If contraction,BDI index is not causal relationship to the price of Dong Sen,the price of Dong Sen is causal relationship to BDI index；If the expanded state, BDI index is not causal relationship to the price of Dong Sen,the price of Dong Sen is causal relationship to BDI index. If contraction,BDI index is causal relationship to the price of Tai Hang,the price of Tai Hang is not causal relationship to BDI index；If the expanded state, BDI index and the price of Tai Hang have no mutual Granger causality relations.If contraction,BDI index is causal relationship to the price of Si Wei Hang,the price of Si Wei Hang is not causal relationship to BDI index；If the expanded state, BDI index is not causal relationship to the price of Si Wei Hang,the price of Si Wei Hang is causal relationship to BDI index.
| Identifer | oai:union.ndltd.org:TW/102TKU05304007 |
| Date | January 2014 |
| Creators | Yen-Chin Ghiang, 江彥志 |
| Contributors | Yu-Long Chen, 陳玉瓏 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 95 |
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