博士 / 國立臺灣海洋大學 / 航運管理學系 / 92 / Abstract
There are some of factors not to be forecasted with sufficient accuracy, which poses a big problem for investors planning to invest in tramp shipping market. In essence, the shipping industry is an international business, which means that there is strong competition between investors of a multitude of countries. Because of economic sensitivity, capital intensity, and competitive factors, which leads to extremely volatile price swing. The fundamental risk characteristics of the shipping industry imply speculative-grade rating.
It is well known that investment in bulk shipping market inevitably faced extreme uncertain risk. However, the investor can only survive on condition that they shall launch out appropriate strategy of risk management to mitigate exposure of high market uncertain risk. This fact have stimulated that most investors begin emphasizing on these critical issues.
The investors shall not exactly recognize characteristics of volatility, but also the correlation of returns across shipping sectors is of great practical importance to investors, as it determines the degree, which they can reduce their exposure to shipping market risk by diversifying their feet. A prevailing GARCH-type model have been recognized a better method to allow us for analyzing both time-varying volatility and hedging option. The result of study can present some following characteristics in bulk shipping market.
(1) Larger bulk carriers face a more volatile rate environment than the small carriers including persistent effect and leverage effect. Conversely, the smaller bulk vessel appears much more reaction or spiky effect than larger bulk vessel in the shipping price movement.
(2) The correlation of return is time-varying and shipping price fluctuates around a constant positive average value. The correlation appears to be getting higher during market downturns, if investors intend to secure the benefit of having a diversified fleet as a protective means against severe sluggish market is negligible. The result of this study may provide shipping market investors how to well pre-arrange optimal allocation of vessel assets preventing from exposure of extreme uncertain risk.
(3) Its systematic risk is significantly positively related, the systematic risks of different types tend to move in different directions during periods of increasing price volatility. While the market segments with systematic risk less than one tend to show negative time variability, while market segments with systematic risk greater than one generally show positive time variability, indicating a positive relationship between the volatility of the dry bulk freight market and the systematic risk of individual market segments. Consequently，safer and riskier market segments are affected differently by increases in dry bulk freight market volatility.
(4) The downward effects are stronger than upward effects among three types of bulk carrier while they are impacted by same magnitude of positive and negative shock. Another result shows that spot rate leads to forward rate. It indicated that the expectations of investors would be deeply influenced by the spot rate, and these expectations would be revised by market situation at that time, then, influencing factors will correct the expectation of investors in the future.
(5)Finding that the bulk shipping market possessed substantial fluctuations in the time path of optimal hedge ratios. Hedging performance in terms of variance reduction of returns from alternative models have been conducted, the result of the finding that diagonal Vech presentation of GARCH model provides the largest reduction in the variance of the return portfolio. This study may recommend investors to use the BGARCH as method of measuring time hedging ratio, enabling to achieve the optimal portfolio with the high reduction of risk under no influence of profit gain.
Finally, this study have taken the initiative in adopting GARCH-type model to investigate characteristics of risk of price volatility in the bulk shipping industry, and intend to look for the method of optimal hedging performance for providing relevant investors or researchers with guidance, and expecting to attract interesting participants to partake in studying wider and deeper relevant issues such as pricing freight rate, arbitrage and portfolio etc.
Keywords：pricing volatility, volatility clustering, leverage effect, coefficient of risk, hedging ratio, hedging efficiency
| Identifer | oai:union.ndltd.org:TW/092NTOU5301004 |
| Date | January 2004 |
| Creators | Yung-Shum Chen, 陳永順 |
| Contributors | Shin-Tung Wang, 王旭堂 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 127 |
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