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題 名 | 波羅地海乾散貨運價指數與金磚四國股價之關聯性=The Relationships between BDI Index and the BRICs Stock Markets |
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作 者 | 蕭堯仁; 周恆志; | 書刊名 | 航運季刊 |
卷 期 | 20:4 2011.12[民100.12] |
頁 次 | 頁1-24 |
分類號 | 557.445 |
關鍵詞 | 金磚四國; BDI指數; 不對稱門檻共整合; 門檻誤差修正模型; BRICs; BDI; Asymmetric threshold autoregression model; Threshold error correction model; |
語 文 | 中文(Chinese) |
中文摘要 | 金磚四國經濟高速成長帶動全球原物料的需求與供給,在全球乾散貨的運量需求增加後,波羅地海散裝運價指數 (BDI) 也逐步上漲。本文採用「不對稱門檻共整合」分析與「門檻誤差修正模型」探討 BDI 指數與金磚四國股市之間的領先落後關係,樣本期間為 2001 年至 2010 年。實證結果顯示,BDI 指數與金磚四國間股價指數存在不對稱的長期共整合關係。而在長期因果關係部分,我們發現巴西股價指數與印度股價指數領先 BDI 指數,存在單向領先落後關係;而俄羅斯股價指數及中國股價指數與 BDI 指數之間,則呈現雙向領先落後的關係。 |
英文摘要 | The study examines the relationships between Baltic Dry Index (BDI) and BRICs stock Indexes. Employing the Asymmetric Threshold Autoregression Model (TAR) and the Threshold Error-Correction Model (TECM), we investigate the asymmetric causal relationships between BDI and stock index in BRICs using the daily closing data running from 2001 to 2010. The empirical results demonstrate that BDI and BRICs stock indexes are asymmetric co-integrated. In addition, the results of Granger-Causality tests based on corresponding TECM show that in Brazil and India, the unidirectional causality runs from the stock index to the BDI in the long run. However, the bidirectional causality in Russia and China was found in this study. |
本系統中英文摘要資訊取自各篇刊載內容。