臺灣散裝航運類股指數與波羅的海綜合運價指數關聯性分析

An Analysis of the Relationships between Taiwan Bulk Shipping Stock Index and Baltic Dry Index

本文的目的是藉由向量自我迴歸整合平均移動模式（VARMA）用於解構出臺灣散裝航運類股指數（TAIBX）與波羅的海綜合運價指數（BDI）的關聯性影響，TAIBX是由國內主要六家散裝航運公司股價進行編製而成；另外，以TAIBX與BDI分別對六家散裝航運公司股價進行模擬預測分析，經過個別模擬並計算出每家公司股價之模擬值與實際數值後，進行均方根百分比誤差（RMSPE）分析。實證結果發現TAIBX與BDI彼此具備雙向影響關係，代表TAIBX與BDI具備連動的訊息，前期BDI會影響下期TAIBX，而前期的TAIBX亦會影響BDI；經過統整加總後的模擬預測結果，顯示出TAIBX之加總RMSPE值為39.38%，而BDI之加總RMSPE值為45.13%，TAIBX之RMSPE值較BDI之RMSPE值小，此部分驗證了TAIBX相對於BDI對於分析散裝航運類股股價具備更強的解釋能力，因此證明TAIBX指數確實發揮其本文原有創建之功效。

This paper investigates the relationship between Taiwan Bulk Shipping Index (TAIBX) and Baltic Dry Index (BDI) using Vector Autoregressive Moving Average Model (VARMA). TAIBX is compiled with the stock prices of six major bulk carriers in Taiwan. The stock prices of each of the six carriers are also simulated, using TAIBX and BDI. The simulated values and actual values of the stock prices are then carried out by Root-Mean-Square Percentage Error (RMSPE) analysis. The empirical results identified a two-way relationship between TAIBX and BDI indices. Namely, the BDI in one period influences TAIBX in the subsequent period and the TAIBX in one period also influences the subsequent BDI. The results show that the total RMPSE value of the TAIBX is 39.38%, while the total RMSPE value for the BDI is 45.31%, indicating that the TAIBX is a more suitable index to explain the stock prices of domestic bulk shipping carriers.