碩士 / 國立虎尾科技大學 / 財務金融系碩士班 / 104 / Taiwan is an export-oriented country, However, most of the crude oil can only rely on imports. Rising crude oil prices will increase production costs, the stock market and economic have a significant impact.
This research period from the first day of 2006 through the end of 2015.The data used in the analysis include information on the Brant crude oil price, Listed shipping company stock price, Baltic Dry Index and Taiwan Accumulate Stock Indexes. This paper adopts some of path-analysis, mediator, unit root test, ARMA, ARCH and GARCH to study for the analysis of the relationship between crude oil and Listed shipping company stock price, Baltic Dry Index and Taiwan Accumulate Stock Indexes.
The empirical results show that in Taiwan stock index as the mediated variables, Due to the estimated parameter reduction is that, in the shipping company''s share price is according to the variables and Baltic Dry Index and Taiwan Stock Index as the independent variable has a partial mediation effect. From the path analysis, it can be found that the direct effect of crude oil on the shipping company''s stock price is the cost side, The Taiwan stock index is the index to predict the economy, So it is between the mediated variables affect for the economy, The results show the WANHAI and crude oil negatively correlated. EVER, U-MING, YANG MING,WAN HAI and SINCERE impact of the cost side is greater than the economy. Baltic Dry Index and EVER, U-MING, YANG MING, WAN HAI positive correlated but the WANHAI and Baltic Dry Index negatively correlated. Using the construction of ARMA model to estimate the lag period of the mode, And using the least AIC value to select the most appropriate model, Due to the selection of the ARMA model, the H0 hypothesis is rejected, so existedheterogeneity variation and the ARCH(1) model received H0hypothesisthen no autocorrelation and heterogeneity variation, along with U-MING and SINCERE. But UMING and SINCERE continuously employ the GARCH model. Finally, UMING and SINCERE use AIC to select the appropriate model of the GARCH, which are GARCH(1.2) and GARCH(2.2).
| Identifer | oai:union.ndltd.org:TW/104NYPI5304001 |
| Date | January 2016 |
| Creators | Meng-Chun He, 何孟純 |
| Contributors | JIAN-TAI WU, 吳建臺 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 65 |
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