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The Comparative Analysis Concerning The Correlations Between BDI Index And Sino-US Stock Markets

Posted on:2016-08-26Degree:MasterType:Thesis
Country:ChinaCandidate:X X WuFull Text:PDF
GTID:2309330470978440Subject:Traffic and Transportation Engineering
Abstract/Summary:PDF Full Text Request
Since 2006, the international shipping market has experienced an unprecedented bull market and followed by bear market. After the last round of prosperity and growth, the international shipping market is currently entangled in the rare long-term downturn in the history. Since February 18,2015, BDI index closed at 509 points, which has broken the 600-point integer juncture, hovering at 28-year low. With the uncertainty of world economic development in the future, the future trend of the international shipping market has become complicated. Sino-US economy account for one-third of the global economy. As the barometer of the macro-economy, China and the US stock markets, to a certain extent, are affected by the environment for the development of international shipping industry. Their development trend exhibits synchronization in various degrees with the international dry bulk market at different stage. Therefore the study on the relationships between the BDI index and Sino-US stock markets is gradually mentioned. This study not only provides information to determine the future trend of the international shipping market, but also guides the healthy and stable development of the stock market in china, which is of strong practical significance.This paper studies the relationship between the international dry bulk market and China as well as the US stock market through the econometric methods. The data includes BDI index, the Shanghai Composite Index, the Dow Jones index and other important stock indexes、stock prices in three sub-periods. Empirical method includes unit root test, Johansen co-integration test, VEC model, Granger causality test and impulse response. The results show that there was no co-integration between BDI index and the US stock market, but during the financial crisis the collapse of the US stock market was a one-way causality of the plunge of BDI index. BDI index had a long-term co-integration relationship with China stock market. Volatility of BDI Index was a one-way causality of China stock market in the stage of economic prosperity. In the economic crisis stage they had a cause and effect relationship, and strengthened the linkage with each other. In parallel period with recovery and recession, the rose of Chinese stock market was a one-way causality of the recovery of BDI index, which indicates that the recovery of international dry bulk market will benefit from the prosperity of Chinese stock market. In three sub-periods, BDI index was a causality of the stock price of China Shipping Develop Co, Ltd and China COSCO holding Co, Ltd all the time, so assorting a degree of attention to BDI index fluctuation may provide a reference for investors to make decisions. By comparing relationships between Sino-US stock markets and BDI index, the paper finds that the US stock market is mature and standardized, and the share price is mare stable, but its impact on the BDI index is only seen in the period of financial crisis; Chinese stock market fluctuates severely, and compared with the US stock market, the relationship with BDI index is closer, which has a pushing effect on the shipping industry.
Keywords/Search Tags:BDI index, Chinese stock market, Vector Error Correction model, Granger causality test, impulse response
PDF Full Text Request
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