| Summary: | 碩士 === 國立高雄第一科技大學 === 運輸倉儲營運所 === 93 === The purpose of this research is to discuss the relationship between the Baltic Dry
Index and stock price on Taiwanese bulk public corporations. Due to the international
bulk market is a perfect competition market. The bulk ships’ supply and demand decide
the transporation market price. There is an important spot quotation Baltic Dry Index
(BDI). This paper uses unit root test, cointegration test, error correction model, Granger
causality test to analyze cointegraion relation and long run equilibrium between BDI
(Baltic Dry Index), BCI(Baltic Capesize Index), BHI(Baltic Handymax Index),
BPI(Baltic Panamax Index) and stock price on Taiwanese bulk public corporations from
January 5, 2000 through July 31, 2004. According to empirical findings, we assert the
following:
1. The correlation between Baltic Capsize Index and Sincere navigation corporation is
found by the causality test.
2. First stream ship coporation stock price is strongly influenced by all Baltic Bulk
shipping Index rather than other corporations’ stock price by the impulse response
function test.
3. The explanations of Baltic Dry Index (BDI) are cleaner than any other Bulk shipping
Index by the error variance decomposition test.
4. By using the cointegration test, the long-run equilibrium correlation between BDI and
Sincere stock price, BHI and Uming stock price, BHI and Sincere stock price, BPI and
Sincere stock price, and BPI and Uming stock price are showed.
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