碩士 / 國立臺灣海洋大學 / 航運管理學系 / 100 / In the past the bulk shipping industry to transport business in taking hedge from risk, many took hedged from risk by the entity primarily. Since freight futures on the market, provided the transaction the operation strategy to taken hedge from risk, there are more and more strategies to operation for maritime related industries. On June 18, 2008 international shipping futures exchange (Imarex) launch electron transaction, attracts the more shipping related operator to join the transaction, therefore increases the transaction the fluidity, make freight market to be more effective. This research in view of BDI index and BDI index stock for object of study, Sample period is on June 24, 2008 to May 7, 2010, total material 489, divide into in the sample and out the sample both to analysis of the hedge ratio and hedge performance . And by methods and so on MVHR model, CCC model and DCC model with four kind of appraisal period analyzes compares, finally demonstrated, in the sample the achievements surpass out the sample the achievements performance, out the sample are best by two week pattern DCC model achievements performance.
| Identifer | oai:union.ndltd.org:TW/100NTOU5301046 |
| Date | January 2012 |
| Creators | Chih-Yuan Wu, 吳志淵 |
| Contributors | Heng-Chih Chou, Gin-Shuh Liang, 周恆志, 梁金樹 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 65 |
Page generated in 0.0016 seconds