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題名 原物料相關公司股價對於原物料價格是否存在預測能力，以鋰與鐵礦砂為例
Can related stock prices accurately predict commodity prices, using lithium and iron ore as examples?
作者 焦祖傑
Chiao, Tsu-Chieh
貢獻者 張元晨
焦祖傑
Chiao, Tsu-Chieh
關鍵詞 原物料
電動車
鋰
電池級碳酸鋰
鐵礦砂
預測能力
股價
Commodity
Electric vehicle
Lithium
Battery-grade lithium carbonate
Iron ore
Predictive ability
Stock price
日期 2023
上傳時間 2-Aug-2023 13:01:05 (UTC+8)
摘要 由於電動車在近年蓬勃發展，現階段最主流的電動車電池為鋰電池，故本文選取電池級碳酸鋰作為研究對象，同時納入傳統產業鐵礦砂作為對照的研究對象，並選取原物料相關的公司作為樣本，探討原物料相關公司股價對於原物料價格是否存在預測能力，分為鋰礦商、鋰電池製造商、鐵礦商與鋼鐵公司，進一步比較這兩個產業相關公司股價對於原物料價格的預測能力。
實證結果發現在特定的樣本內與樣本外比例與預測期間時，相關公司股價走勢對原物料價格走勢顯著地存在預測能力，在樣本內的預測能力，除了鋰電池製造商統計上不顯著以外，在鋰礦商、鐵礦商與鋼鐵公司皆具有統計上顯著的預測能力，公司股價與原物料價格存在顯著正向關係，同時在樣本外預測能力方面，本研究發現電池級碳酸鋰相關公司的預測能力優於鐵礦砂相關公司。
Due to the vigorous development of electric vehicles in recent years, the most mainstream electric vehicle batteries at this stage are lithium batteries. Therefore, this paper selects battery-grade lithium carbonate as the research object. Since lithium is an emerging industry in recent years, this paper also includes iron ore, a traditional industry, as a research object. The companies related to these commodities are selected as samples to investigate the predictive power of their stock prices.
The empirical results indicate that, within a specific in-sample and out-of-sample ratio and forecast period, the related stock prices demonstrate significant predictive ability for commodity prices. However, the predictive ability of lithium battery manufacturers in the sample is statistically insignificant, while lithium miners, iron miners, and steel companies show statistically significant results. There exists a significant positive relationship between related stock prices and commodity prices. When considering the out-of-sample data, the predictive ability of companies related to battery-grade lithium carbonate is superior to that of companies related to iron ore.
參考文獻 Akram, Q.F. (2009). Commodity prices, interest rates and the dollar. Energy Economics, 31(6), 838-851
Alam, M.M. and G. Uddin (2009). Relationship between Interest Rate and Stock Price: Empirical Evidence from Developed and Developing Countries. International Journal of Business and Management, 4(3), 43-51
Alexius, A. and D. Spång (2018). Stock prices and GDP in the long run. Journal of Applied Finance & Banking, 8(4), 107-126
Andries, A.M., I. Ihnatov, and A.K. Tiwari (2014). Analyzing time–frequency relationship between interest rate, stock price and exchange rate through continuous wavelet. Economic Modelling, 41, 227-238
Campbell, J., and S. Thompson (2008). Predicting excess stock returns out of sample:
Can anything beat the historical average?. The Review of Financial Studies, 21(4), 1509-31
Chen, Y., K. Rogoff, and B. Rossi (2010). Can exchange rates forecast commodity
prices?. The Quarterly Journal of Economics, 125(3), 1145-94
Chen, S. (2014). Forecasting crude oil price movements with oil-sensitive stocks. Economic Inquiry, 52(2), 830-44
Chen, S. (2016). Commodity prices and related equity prices. The Canadian Journal of Economics, 49(3), 949-967
Diebold, F.X., and R.S. Mariano (1995). Comparing predictive accuracy. J. Bus. Econ. Stat. 13, 253–263.
Faisal, F., P.M. Muhamad, and T. Tursoy (2016). Impact of Economic Growth, Foreign Direct Investment and Financial Development on Stock Prices in China: Empirical Evidence from Time Series Analysis. International Journal of Economics and Financial Issues, 6(4), 1998-2006
Frankel, J.A. (2014). Effects of speculation and interest rates in a “carry trade” model of commodity prices. Journal of International Money and Finance, 42, 88-112
Jiang, Y., G. Tian, and B. Mo (2020). Spillover and quantile linkage between oil price shocks and stock returns: new evidence from G7 countries. Financial Innovation, 6(42)
Kilian, L., and C. Vega (2011). Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices. The Review of Economics and Statistics, 93(2), 660-671
Rossi, B. (2012). The changing relationship between commodity prices and equity prices in commodity exporting countries. IMF Economic Review, 60(4), 533-69
Wang, Q., and R. Balvers (2021). Determinants and predictability of commodity producer returns. Journal of Banking & Finance, 133, 278-287
Wei, P., and Y. Chang (2016). The Relationship between Equity and Commodity Markets during the Credit Crisis. Academia Economic Papers, 44(1), 93-125
Zhang, Y., and J. Wang (2019) Do high-frequency stock market data help forecast crude oil prices? Evidence from the MIDAS models. Energy Economics, 78, 192-201
參考資料
1. mining.com (https://www.mining.com/)
2. elements.visualcapitalist.com (https://elements.visualcapitalist.com/)
3. miningintelligence.com (https://www.miningintelligence.com/)
4. worldsteel.org (https://worldsteel.org/)
5. investing.com(https://www.investing.com/
描述 碩士
國立政治大學
財務管理學系
110357035
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0110357035
資料類型 thesis
dc.contributor.advisor 張元晨zh_TW
dc.contributor.author (Authors) 焦祖傑zh_TW
dc.contributor.author (Authors) Chiao, Tsu-Chiehen_US
dc.creator (作者) 焦祖傑zh_TW
dc.creator (作者) Chiao, Tsu-Chiehen_US
dc.date (日期) 2023en_US
dc.date.accessioned 2-Aug-2023 13:01:05 (UTC+8)-
dc.date.available 2-Aug-2023 13:01:05 (UTC+8)-
dc.date.issued (上傳時間) 2-Aug-2023 13:01:05 (UTC+8)-
dc.identifier (Other Identifiers) G0110357035en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/146293-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理學系zh_TW
dc.description (描述) 110357035zh_TW
dc.description.abstract (摘要) 由於電動車在近年蓬勃發展，現階段最主流的電動車電池為鋰電池，故本文選取電池級碳酸鋰作為研究對象，同時納入傳統產業鐵礦砂作為對照的研究對象，並選取原物料相關的公司作為樣本，探討原物料相關公司股價對於原物料價格是否存在預測能力，分為鋰礦商、鋰電池製造商、鐵礦商與鋼鐵公司，進一步比較這兩個產業相關公司股價對於原物料價格的預測能力。
實證結果發現在特定的樣本內與樣本外比例與預測期間時，相關公司股價走勢對原物料價格走勢顯著地存在預測能力，在樣本內的預測能力，除了鋰電池製造商統計上不顯著以外，在鋰礦商、鐵礦商與鋼鐵公司皆具有統計上顯著的預測能力，公司股價與原物料價格存在顯著正向關係，同時在樣本外預測能力方面，本研究發現電池級碳酸鋰相關公司的預測能力優於鐵礦砂相關公司。		zh_TW
dc.description.abstract (摘要) Due to the vigorous development of electric vehicles in recent years, the most mainstream electric vehicle batteries at this stage are lithium batteries. Therefore, this paper selects battery-grade lithium carbonate as the research object. Since lithium is an emerging industry in recent years, this paper also includes iron ore, a traditional industry, as a research object. The companies related to these commodities are selected as samples to investigate the predictive power of their stock prices.
The empirical results indicate that, within a specific in-sample and out-of-sample ratio and forecast period, the related stock prices demonstrate significant predictive ability for commodity prices. However, the predictive ability of lithium battery manufacturers in the sample is statistically insignificant, while lithium miners, iron miners, and steel companies show statistically significant results. There exists a significant positive relationship between related stock prices and commodity prices. When considering the out-of-sample data, the predictive ability of companies related to battery-grade lithium carbonate is superior to that of companies related to iron ore.		en_US
dc.description.tableofcontents 第一章 緒論 7
第一節 研究背景與動機 7
第二節 研究目的 8
第三節 研究架構 9
第二章 文獻回顧 10
第一節 與原物料價格相關的變數探討 10
第二節 與股票價格相關的變數探討 13
第三章 研究方法 16
第一節 樣本資料與來源 16
第二節 變數定義 18
第三節 研究假說 19
第四節 實證研究模型 20
第四章 實證結果 23
第一節 敘述統計 23
第二節 單根檢定 24
第三節 樣本內預測 24
第四節 樣本外預測 26
第五章 結論 31
第一節 本文結論 31
第二節 未來研究之建議 32
參考文獻 34
參考資料 35		zh_TW
dc.format.extent 1633108 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0110357035en_US
dc.subject (關鍵詞) 原物料zh_TW
dc.subject (關鍵詞) 電動車zh_TW
dc.subject (關鍵詞) 鋰zh_TW
dc.subject (關鍵詞) 電池級碳酸鋰zh_TW
dc.subject (關鍵詞) 鐵礦砂zh_TW
dc.subject (關鍵詞) 預測能力zh_TW
dc.subject (關鍵詞) 股價zh_TW
dc.subject (關鍵詞) Commodityen_US
dc.subject (關鍵詞) Electric vehicleen_US
dc.subject (關鍵詞) Lithiumen_US
dc.subject (關鍵詞) Battery-grade lithium carbonateen_US
dc.subject (關鍵詞) Iron oreen_US
dc.subject (關鍵詞) Predictive abilityen_US
dc.subject (關鍵詞) Stock priceen_US
dc.title (題名) 原物料相關公司股價對於原物料價格是否存在預測能力，以鋰與鐵礦砂為例zh_TW
dc.title (題名) Can related stock prices accurately predict commodity prices, using lithium and iron ore as examples?en_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Akram, Q.F. (2009). Commodity prices, interest rates and the dollar. Energy Economics, 31(6), 838-851
Alam, M.M. and G. Uddin (2009). Relationship between Interest Rate and Stock Price: Empirical Evidence from Developed and Developing Countries. International Journal of Business and Management, 4(3), 43-51
Alexius, A. and D. Spång (2018). Stock prices and GDP in the long run. Journal of Applied Finance & Banking, 8(4), 107-126
Andries, A.M., I. Ihnatov, and A.K. Tiwari (2014). Analyzing time–frequency relationship between interest rate, stock price and exchange rate through continuous wavelet. Economic Modelling, 41, 227-238
Campbell, J., and S. Thompson (2008). Predicting excess stock returns out of sample:
Can anything beat the historical average?. The Review of Financial Studies, 21(4), 1509-31
Chen, Y., K. Rogoff, and B. Rossi (2010). Can exchange rates forecast commodity
prices?. The Quarterly Journal of Economics, 125(3), 1145-94
Chen, S. (2014). Forecasting crude oil price movements with oil-sensitive stocks. Economic Inquiry, 52(2), 830-44
Chen, S. (2016). Commodity prices and related equity prices. The Canadian Journal of Economics, 49(3), 949-967
Diebold, F.X., and R.S. Mariano (1995). Comparing predictive accuracy. J. Bus. Econ. Stat. 13, 253–263.
Faisal, F., P.M. Muhamad, and T. Tursoy (2016). Impact of Economic Growth, Foreign Direct Investment and Financial Development on Stock Prices in China: Empirical Evidence from Time Series Analysis. International Journal of Economics and Financial Issues, 6(4), 1998-2006
Frankel, J.A. (2014). Effects of speculation and interest rates in a “carry trade” model of commodity prices. Journal of International Money and Finance, 42, 88-112
Jiang, Y., G. Tian, and B. Mo (2020). Spillover and quantile linkage between oil price shocks and stock returns: new evidence from G7 countries. Financial Innovation, 6(42)
Kilian, L., and C. Vega (2011). Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices. The Review of Economics and Statistics, 93(2), 660-671
Rossi, B. (2012). The changing relationship between commodity prices and equity prices in commodity exporting countries. IMF Economic Review, 60(4), 533-69
Wang, Q., and R. Balvers (2021). Determinants and predictability of commodity producer returns. Journal of Banking & Finance, 133, 278-287
Wei, P., and Y. Chang (2016). The Relationship between Equity and Commodity Markets during the Credit Crisis. Academia Economic Papers, 44(1), 93-125
Zhang, Y., and J. Wang (2019) Do high-frequency stock market data help forecast crude oil prices? Evidence from the MIDAS models. Energy Economics, 78, 192-201
參考資料
1. mining.com (https://www.mining.com/)
2. elements.visualcapitalist.com (https://elements.visualcapitalist.com/)
3. miningintelligence.com (https://www.miningintelligence.com/)
4. worldsteel.org (https://worldsteel.org/)
5. investing.com(https://www.investing.com/		zh_TW