English  |  正體中文  |  简体中文  |  Items with full text/Total items : 27228/39071
Visitors : 2410375      Online Users : 50
RC Version 4.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Adv. Search
LoginUploadHelpAboutAdminister

Please use this identifier to cite or link to this item: http://ntour.ntou.edu.tw:8080/ir/handle/987654321/35611

Title: 散裝船運價與貨櫃船運價領先落後關係與波動傳遞效果之研究
The Analysis of Lead-lag Relationship and Volatility Transmission Effect between Dry-bulk and Container Freight Index
Authors: Hsiao Yao-Jen
蕭堯仁
Contributors: NTOU:Department of Shipping and Transportation Management
國立臺灣海洋大學:航運管理學系
Keywords: 散裝航運;貨櫃航運;運費市場;金融海嘯;傳遞效果
Dry bulk shipping;Container shipping;Freight markets;Financial tsunami;Transmission effect
Date: 2013
Issue Date: 2013-10-07T02:56:44Z
Abstract: 金融海嘯不僅對全球金融市場造成衝擊,亦對航運市場產生嚴重影響。一般而言,散裝船與貨櫃船運價的關係,應具有長期均衡關係。然而在面臨金融海嘯的衝擊,代表散裝船運價的BDI大幅下跌,而代表貨櫃船運價的CCFI卻回復至金融海嘯前的運價水準,兩運價間的變動關係於金融海嘯後是否仍一致需加以檢視。此外,本研究建立散裝船與貨櫃船運價領先落後關係的三項假說,並以金融海嘯及歐債危機事件作為假說驗證,提供航商或投資人在面對景氣循環與運價波動不確定下之投資策略參考。基此,本研究運用共整合模型、Granger因果關係檢定與BEKK-GARCH模型,探討BDI與CCFI兩運價間的領先落後關係,以及運價的波動傳遞效果。 共整合檢定顯示金融海嘯並未破壞兩運價的長期均衡關係,而因果關係檢定則呈現當航運市場經歷金融海嘯的衝擊時,BDI較快反應景氣變化的影響,至金融海嘯後面對景氣復甦時,反呈現CCFI較早反應的跡象,此結果與價格形成假說驗證相符合。 最後,在兩運價的報酬波動傳遞效果的結果發現,金融海嘯前後兩運價的波動在長期皆具有持續性的傳遞效果,但短期衝擊效果於金融海嘯時呈現BDI對CCFI存在外溢效果,而金融海嘯後反呈現CCFI對BDI存在外溢效果,因此金融海嘯的發生,可視為一個干擾因素。
This study investigates the return lead-lag and volatility transmission between dry bulk shipping and container shipping freight markets over the period before, during and after the 2008 financial tsunami. Both cointegration analysis and the Granger causality test are applied to explore the lead-lag relationship between the Baltic dry index (BDI) and the China container freight index (CCFI). Then, in the study we established three hypothsis to explain the lead-lag relationship. Besides, we employed BEKK -GARCH model, which allows for transmission in freight volatility. On the whole, the empirical results show that the BDI reflects the economic climate earlier than the CCFI during the financial tsunami, while the CCFI leads the BDI after the financial tsunami. The price-formation hypothesis could well explain the relationship. Moreover, volatility spillovers are found in most sub-periods. The dynamics of the conditional volatilities differ, but causality links in the variance are found to be strong and bidirectional in normal periods, and unidirectional during the financial tsunami. Therefore, the occurrence of the financial tsunami could be regarded as an interference factor.
URI: http://ethesys.lib.ntou.edu.tw/cdrfb3/record/#G0D94730004
http://ntour.ntou.edu.tw/handle/987654321/35611
Appears in Collections:[航運管理學系] 博碩士論文

Files in This Item:

File Description SizeFormat
index.html0KbHTML114View/Open


All items in NTOUR are protected by copyright, with all rights reserved.

 


著作權政策宣告: 本網站之內容為國立臺灣海洋大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,請合理使用本網站之內容,以尊重著作權人之權益。
網站維護: 海大圖資處 圖書系統組
DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback