The Causal Relationships Study among Crude Oil, Baltic Transportation Index and Taiwan Transportation Stock Index – An Application of VAR Model / 國際原油、波羅的海運費指數和台灣運輸類股價指數連動關係之研究 - VAR模型之應用

碩士 / 國立臺北大學 / 企業管理學系 / 105 / International oil prices and international freight index on the operation of the transport industry in Taiwan has a huge impact. This study explores the relationship between the North Sea Brent crude spot, the Baltic dry cargo freight index and the Taiwan transport class weighted share price index. Research data from the Taiwan Economic News (TEJ), during the period from February 2000 to June 2016, a total of 197 months of information. In this paper, we use the vector autoregressive model of time series to decompose the impact response function and the error coefficient of the vector self-regression model with the single test, the causal relationship test, and the leading and backward relationship between the three. Empirical evidence shows that crude oil prices and freight index will affect each other and will affect the Taiwan transport industry stock price index. In addition, the endogencity of the freight index is the weakest, more susceptible to the impact of crude oil, and Taiwan's transport industry share price of the endogenous nature of the strongest, that is, the Taiwan transport industry share price index in addition to the two international factors, the domestic climate factor will also affect the transport industry stock price changes.

Identiferoai:union.ndltd.org:TW/105NTPU0121094
Date January 2017
CreatorsTENG,YU-TING, 鄧毓廷
ContributorsLIN, CHUANG-YUANG, LU, TZU-YING, 林泉源, 呂姿瑩
Source SetsNational Digital Library of Theses and Dissertations in Taiwan
Languagezh-TW
Detected LanguageEnglish
Type學位論文 ; thesis
Format37

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