碩士 / 國立臺灣海洋大學 / 航運管理學系 / 99 / The literature on asset risk and return of the studies focus on securities and foreign exchange, this paper is the first time the price of shipping of the relationship between risk and return. Baltic Dry Bulk Freight Index (BDI) in the fourth quarter of 2008 fell 95%, the relationship between risk and return attracted much attention. In this paper, the intertemporal capital asset pricing model (ICAPM) BDI index Testing the relationship between risk and return. This sampling period 11/1/1999 ~ 2/26/2010 and the financial crisis as the boundary, into turmoil during the study period before the 11/1/1999 ~ 8/30/2008, 9/1/2008 ~ storm 1 / 30 /2009, turmoil during three periods 9/1/2008 ~ 2/26/2010. In this paper, BDI index date information and to EWMA and GARCH-in-mean model of the empirical.
The empirical results show that in the sample period, BDI index of risk and return but not significant negative correlation, if sub-period analysis, the paper found that before the financial turmoil in the BDI index of risk and return for the positive correlation; but after the financial turmoil. This relationship to a negative correlation, so the risk premium BDI index is negative. Rolling window to further illustrate the method to estimate the risk premium BDI index changes, found that the risk premium is not constant, before the financial turmoil reached the maximum, but more negative during the storm. Significantly changed the financial crisis showed BDI index the relationship between risk and return.
| Identifer | oai:union.ndltd.org:TW/099NTOU5301006 |
| Date | January 2011 |
| Creators | 程于珊 |
| Contributors | Heng-Chih Chou, 周恆志 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 41 |
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