本研究以波羅的海綜合運價指數為主體，針對傳統產業之散裝航運業探討台灣運輸類股指數、台灣上市散裝航運公司股價與美國運輸類股指數間之互動關係。本研究採時間序列之單根檢定、共整合檢定與Granger因果關係檢定等研究方法，實證顯示經由單根檢定發現所有研究變數屬非穩態，可知指數和股價呈現出一隨機漫步之走勢，經過一階差分後，即呈現恆定狀態；透過Johansen共整合檢定，發現所有變數具有長期之均衡關係，代表長期而言變數會往均衡方向調整，短期之動態關係本文以向量誤差修正模型(VECM)修正；最後，Granger因果關係檢定發現代表國際散裝價格之波羅的海綜合運價指數與美國運輸類股均領先台灣運輸類股指數與股價，而台灣運輸類股指數領先台灣上市散裝航運公司股價。本文提供航商與投資者可針對歷史指數之走勢來預測股價變化，以降低營運與投資風險。

The purpose of this study is to examine the relationship among Baltic Dry Index, Taiwan transportation index, Taiwan listed bulk carrier’s stocks and U.S transportation index. The methods of unit root test、Cointegration test and Granger causality are used. The empirical results show the entire variables exist unit root. From Johansen cointegration test and Vector Error Correction Model (VECM) indicate that there are long-term and short-term equilibrium relationships among all variables. In addition, from Granger causality test show the BDI and U.S transportation index lead Taiwan transportation index and Taiwan Listed bulk carrier’s stocks. This paper support some suggestions to predict the volatility of Taiwan dry bulk stocks prices and base on the Baltic Dry Index, U.S. transportation index, and Taiwan transportation index.

中文部份
交通部統計處，台灣地區進出口貨品運保費統計報告，交通部統計處，台北市，頁4，民國93年。
交通部統計處，台灣地區進出口貨品運保費統計報告，交通部統計處，台北市，頁4，民國94年。
交通部統計處，台灣地區進出口貨品運保費統計報告，交通部統計處，台北市，頁4，民國95年。
交通部統計處，台灣地區進出口貨品運保費統計報告，交通部統計處，台北市，頁4，民國96年。
林光，海運學（第五版），華泰書局，台北市，民國92年。
陳永順，散裝海運經營學理論與實務，文笙書局，台北市，民國94年。
楊奕農，時間序列分析經濟與財務上之應用，雙葉書廊，台北市，民國96年。

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