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Title: 技術分析在散裝航運二手船買賣的應用
The Application of Technical Analysis in the Trading of Second-hand Bulk Ship Markets
Authors: Lin, Zong-Yi
Contributors: NTOU:Department of Shipping and Transportation Management
Keywords: 技術分析;二手船;散裝船;移動平均法;濾嘴法則;布林軌道;乖離率
Technical Analysis;Second-hand Ship;Dry Bulk Ship;Moving Average;Filter Rules;Bollinger Bands;Bias
Date: 2014
Issue Date: 2018-08-08T03:51:18Z
Abstract: 二手船舶交易是散裝航運業的主要業務之一,若能掌握適當時機將船舶買低賣高,將有助於提高船東收入。因此本研究利用金融市場中常用的四種技術分析指標:移動平均法、濾嘴法則、布林軌道以及乖離率,在分別設定不同的參數下,根據船價的變動找出買進以及賣出船舶的最佳時間點。本研究將二手船價歷史資料的樣本時間分為兩段,第一段稱為模型建構期(1986年6月到2003年6月),針對四種散裝船型分別找出最佳的技術指標;第二段稱為績效驗證期(2003年7月到2013年6月),用來驗證各種船型最佳技術指標的投資績效。結果顯示相對於買進持有策略,使用最佳的技術指標進行船舶交易可以獲得較高的報酬。即使是考量融資成本,使用最佳技術指標的報酬仍高於買入持有策略,惟有在考量船舶市場的流動性後,僅剩下Capesize可以獲得正報酬。
Second-hand ship trading is one of the major businesses of bulk shipping industry, if it is possible to choose the best time to buy low and sell high, it would help shipowners to improve their profitability. This study applied four popular technical analysis indicators in financial markets including moving average, filter rules, Bollinger bands and bias to ship tradings. By setting different parameters, the best time to buy and sell ships could be figured out according to the dynamics of ship prices. In this study, sampling time of second-hand ship price data was divided into two subperiods. The first subperiod is the “model construct period”(from June 1986 to June 2003), and the best technical analysis indicators is found in this period. The second subperiod is “performance testing period”(from July 2003 to June 2013), which is used to verify the investment performance of best technical indicators in various ships. Our results showed that compared to the buy-and-hold strategy, the technical analysis approach for ship trading can obtain higher return; even when financial cost is considered, the return of the technical analysis approach is still higher than that of buy-and-hold strategy. However, after considering the liquidity of ship tradings, only Capesize ships can obtain positive returns.
URI: http://ethesys.lib.ntou.edu.tw/cgi-bin/gs32/gsweb.cgi?o=dstdcdr&s=G0010173016.id
Appears in Collections:[航運管理學系] 博碩士論文

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