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系統識別號 U0026-0812200915150688
論文名稱(中文) 技術分析投資策略應用於國際散裝二手船市場
論文名稱(英文) The Investment Strategies of Technical Analysis in the International Dry Bulk Carrier Secondhand Ship Market
校院名稱 成功大學
系所名稱(中) 交通管理學系碩博士班
系所名稱(英) Department of Transportation & Communication Management Science
學年度 97
學期 2
出版年 98
研究生(中文) 林依穎
研究生(英文) Yi-Ying Lin
學號 r5696109
學位類別 碩士
語文別 英文
論文頁數 43頁
口試委員 指導教授-張瀞之
口試委員-林正章
口試委員-韓子健
中文關鍵字 技術分析  移動平均法  週期  X-12-ARIMA  Hedrick-Prescott Filter 
英文關鍵字 Technical Analysis  Moving Average  Business Cycle  X-12-ARIMA  Hedrick-Prescott filter 
學科別分類
中文摘要 本研究將技術分析的移動平均法應用於國際散裝航運二手船市場,以進行二手船市場的投資策略分析,試圖找出一套準則來判斷合適的二手船舶買賣時機。然而技術分析的移動平均法卻存在一些缺點,首先移動平均是一項落後指標,再者其在波動越頻繁時會產生越多假訊號。有鑑於此,本研究另外加入週期分析將之與移動平均法兩相結合應用,以刪除移動平均法所存在的假訊號並且增加判斷的準確性。為求得研究變數的週期成份,本研究採用X-12-ARIMA 季節調整模型和Hedrick-Prescott濾波法去除研究變數的長期趨勢、季節變動、不規則變動等成份,最後取得研究所需的週期成份。本研究以波羅的海乾散貨運費指數(Baltic Dry Index:BDI)建模,並以波羅的海海岬型運費指數(Baltic Capesize Index:BCI)和波羅的海巴拿馬極限型運費指數(Baltic Panamax Index:BPI)進行實證研究。驗證結果顯示,所有根據移動平均法結合週期之判斷準則的投資策略皆呈現正報酬。因此,本研究認為移動平均法結合週期所建構出的投資判斷準則,對於船東、航運經理人、投資者來說是一項有用的工具。船東與航運經理人可藉由此準則找出最適買賣二手船舶的時機,進而從事避險的動作。而投資人也可藉由此準則重整其在航運業的投資組合,並且避免錯誤決策所造成的風險。
英文摘要 This study involves Moving average (MA) of technical analysis in maritime market in order to examine the optimal timing to invest in the international dry bulk carrier secondhand ship market. However, there are some drawbacks of moving average, such as it is a lagging indicator, as well, it can reveal some false signals, so this study combines moving average with business cycle to increase accuracy of judgment. X-12-ARIMA and Hedrick-Prescott filter would be employed to obtain cyclical component of data. Baltic Dry Index (BDI) was selected as the study subject, and empirical study was conducted by Baltic Capesize Index (BCI) and Baltic Panamax Index (BPI). The results are confirmed that all strategies have made based on the rule of combining moving average with business cycle in dry bulk markets of Capesize and Panamax were profitable. Consequently, the rule of combining moving average with business cycle is a useful tool for ship owners, shipping managers and investors in investment. Such as ship owners and shipping managers will enable to choose optimal timing to buy and to sell ships, as well as hedge in shipping operation. Furthermore, investors can rearrange their portfolio in the shipping industry and avoid risk from making wrong decisions.
論文目次 Chapter 1 Introduction......1
1.1 Research Background and Motivation......1
1.2 Purpose of Research......4
1.3 Research Procedures......5
Chapter 2 Literature Review......7
2.1 Technical Analysis......7
2.2 Moving Average......8
2.3 Cycle......9
2.3.1 Seasonal Adjustment of X-12-ARIMA......10
2.3.2 Hodrick-Prescott Filter......11
2.4 Summary......12
Chapter 3 Methodology......14
3.1 Data Collection......14
3.2 Moving Average......15
3.3 Seasonal Adjustment of X-12-ARIMA......19
3.4 Hodrick-Prescott Filter......20
3.5 The Trading Strategy of Combining Moving Average with Business Cycle......21
3.6 Summary......22
Chapter 4 Empirical Analysis......23
4.1 Descriptive Analysis......23
4.2 Technical Analysis......25
4.2.1 Business Cycle......26
4.2.2 Moving Average and Business Cycle......28
4.3 Empirical Study......29
4.3.1 Capesize Market......30
4.3.2 Panamax Market......33
4.4 Summary......35
Chapter 5 Conclusion......37
References......39
Appendix A - Figures......41
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