國際乾散貨航運市場報酬時變動差實證研究

An Empirical Evidence of Time-Varying Moments in International Bulk Shipping Market

本研究目的在探討國際乾散貨航運市場報酬時變波動、偏態及峰態之特性。投資人若能正確認知散裝海運市場價格波動，將有助於擬訂船舶資產定價、資產配置及風險管理等交易策略。GARCH類模型容許應用於研究散裝乾貨船三標準型船：海岬型船（Capesize）、巴拿馬極限型船（Panamax）及輕便極限型船（Handymax）等樣本期間日報酬的時變波動、偏態及峰態。本研究發現乾貨散裝船三種標準型船的日報酬顯著存在有條件偏態及峰態，以及發現時變偏態及峰態之設定表現優於固定之設定。而且在報酬變動方面，較大型船比較小型船顯現更有槓桿效應。相反地，較小型船比較大型船出現更大波動叢聚效應。

The purpose of this paper is to investigate the characteristics of return volatility, skewness and kurtosis in international bulk freight market. The investors can exactly recognize return volatility in freight market, it is helpful to make decision for trading strategy on asset pricing, asset allocation, arbitrage and risk management. A GARCH-type model allowing for time-varying volatility, skewness and kurtosis is applied to daily return for three standard types of dry bulk vessel namely Capesize, Panamax and Handymax. Based upon the estimation using freight return data provided by Baltic Freight Exchange Ltd over April 1, 1999 -Jan. 30, 2004, it is found that there existed significant conditional skewness and kurtosis. It is also found that specifications allowed for time-varying skewness and kurtosis outperform specification with constant third and fourth moments. Moreover the larger bulk vessel appears much more leverage effect than smaller bulk vessel in the return movement. Conversely, the smaller bulk vessel appears much more reaction effect than larger bulk vessel in the return movement.