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Analysis of the Relationship Between Freight Index and Shipping Company`s Stock Price Index
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  • Journal title : Journal of Digital Convergence
  • Volume 14, Issue 6,  2016, pp.157-165
  • Publisher : The Society of Digital Policy and Management
  • DOI : 10.14400/JDC.2016.14.6.157
 Title & Authors
Analysis of the Relationship Between Freight Index and Shipping Company`s Stock Price Index
Kim, Hyung-Ho; Sung, Ki-Deok; Jeon, Jun-woo; Yeo, Gi-Tae;
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 Abstract
The purpose of this study was to analyze the effect of the shipping industry real economy index on the stock prices of domestic shipping companies. The parameters used in this analysis were the stock price of H Company in South Korea and shipping industry real economy indices including BDI, CCFI and HRCI. The period analysis was from 2012 to 2015. The weekly data for four years of the stock price index of shipping companies, BDI, CCFI, and HRCI were used. The effects of CCFI and HRCI on the stock price index of domestic shipping companies were analyzed using the VAR model, and the effects of BDI on the stock price index of domestic shipping companies were analyzed using the VECM model. The VAR model analysis results showed that CCFI and HRCI had negative effects on the stock price index, and the VECM model analysis results showed that BDI also had a negative effect on the stock price index.
 Keywords
Freight index;Stock price index;Unitroot test;Cointegration test;VAR;VECM;
 Language
Korean
 Cited by
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