| Summary: | 碩士 === 國立屏東科技大學 === 企業管理系所 === 106 === Abstract
Student ID: N10458011
Title of thesis: A Study of Grey VAR on Interactive Struture between Shipping Industry’s Stock Price and Technical Lndices in TAIWAN
Total page:156
Name of Institute:Department of Business Administration, National Pingtung University of Science and Technology
Graduate date: December, 2017 Degree Conferred: Master
Name of student: Chien-Chen, WANG Adviser:Kung-Hsiung,Chang,Ph.D.
The contents of abstract in this thesis:
Using the daily weekly and monthly data of the Taiwan Shipping Industry’s Stock Price from 2009 to 2016 as examples of Evergreen Marine Coperation, U-Ming Marine Transport Coperation and Yang Ming Marine Transport Coperation, this paper discuss the dynamic structure between Taiwan Shipping Industry’s Index and technical index. Of all, this paper whitens original data through a grey model GM (1,1) and grey technical analysis indices are obtained. We use traditional technical analysis indices like KDJ,BIAS,MACD,RSI,W%R, and BDI as agency indices.
According to the empirical results, I found that KDJ, BIAS, MACD, RSI, W%R and BDI have a Granger causality relationship with stock market index respectively. By using Granger causality, forecast error variance decomposition and the impact response analysis, this research realize the existence of the dynamic structure between Taiwan Shipping Industry’s stock market index and technical index. The results show that the Taiwan Shipping Industry’s stock market index is not consisted with a weak-form efficiency market hypothesis.
Keywords : Taiwan Stock Market Index, Technical Index, GM(1.1),Grey VectorAutoregression Model (GVAR).
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