本文選題：干散貨航運市場　切入點：運價指數(shù)　出處：《大連海事大學》2012年碩士論文

【摘要】：干散貨航運市場是國際航運市場的重要組成部門,其運輸?shù)蔫F礦石、煤炭、糧谷等是人民生產(chǎn)、生活的必需品。近年來,隨著國際經(jīng)濟的復雜化,干散貨運價指數(shù)波動較大,在短短一年時間內(nèi)創(chuàng)造了歷史最高值與最低值,其“過山車”式的波動使干散貨航運市場的參與者蒙受了較大的損失。目前,國內(nèi)外學者對干散貨運價指數(shù)的波動性進行了大量的研究,取得了一定的研究成果。本文將整個干散貨航運市場按照船型的不同進行細分,使用金融研究中廣泛使用的多變量GARCH-BEKK模型應(yīng)用于不同船型的干散貨航運市場之間的波動性研究中,除考慮不同市場的波動敏感性和持續(xù)性外,還對不同船型的干散貨航運市場之間的波動溢出效應(yīng)進行了分析,并對波動溢出效應(yīng)的原因進行了分析。本文的主要工作包括： 首先,從干散貨航運市場的需求、運力供給、市場特征、運價指數(shù)等方面定性地分析了干散貨航運市場。從全球的角度出發(fā),宏觀地分析了干散貨運價指數(shù)波動的影響因素。 其次,在界定波動溢出效應(yīng)概念的基礎(chǔ)上,介紹了常用研究不同市場間波動溢出效應(yīng)的單變量GARCH類模型、多變量GARCH模型類和SV模型。通過分析三類模型的優(yōu)缺點,選出了適用于干散貨航運市場間波動溢出效應(yīng)研究的多變量GARCH-BEKK模型。 第三,收集波羅的海國際干散貨運價指數(shù)數(shù)據(jù),構(gòu)建三種船型的干散貨運價指數(shù)收益率序列,描繪序列的走勢和基本統(tǒng)計特征,從總體上把握收益率的基本特點。在平穩(wěn)性、自相關(guān)性和ARCH效應(yīng)檢驗的基礎(chǔ)上,運用適用于干散貨航運市場波動溢出效應(yīng)研究的GARCH-BEKK模型分析了三種船型干散貨航運市場波動的敏感性、持續(xù)性以及三個市場之間的波動溢出效應(yīng)。對于三個干散貨航運市場出現(xiàn)波動溢出效應(yīng)的原因進行了分析。 第四,針對如何規(guī)避干散貨航運市場的波動給參與者帶來的風險,本文從政府應(yīng)該如何加強對干散貨航運企業(yè)的扶持以及航運企業(yè)如何加強抵御風險的能力兩個方面給出了建議和對策。 最后,總結(jié)了本文研究的主要內(nèi)容,并指明了本文研究的不足之處和未來發(fā)展的方向。
[Abstract]:The dry bulk shipping market is an important component of the international shipping market. The iron ore, coal, grain and other commodities transported by the dry bulk shipping market are necessities for people to produce and live. In recent years, with the complication of the international economy, the price index of dry bulk freight has fluctuated greatly. In a short period of one year, it has created the highest and lowest value in history, and its "roller coaster" fluctuation has caused a great loss to the participants in the dry bulk shipping market. Scholars at home and abroad have done a lot of research on the volatility of dry bulk freight rate index, and obtained certain research results. This paper subdivides the whole dry bulk shipping market according to different ship types. The multivariable GARCH-BEKK model, which is widely used in financial research, is used to study the volatility of dry bulk shipping markets with different types of ships, except for the volatility sensitivity and persistence of different markets. This paper also analyzes the volatility spillover effects among dry bulk shipping markets of different types of ships, and analyzes the causes of volatility spillover effects. The main work of this paper is as follows:. Firstly, this paper analyzes the dry bulk shipping market qualitatively from the aspects of demand, capacity supply, market characteristics and freight rate index of dry bulk shipping market, and from the global point of view, analyzes the influencing factors of the fluctuation of dry bulk freight price index macroscopically. Secondly, on the basis of defining the concept of volatility spillover effect, the univariate GARCH model, multivariate GARCH model and SV model are introduced. A multivariable GARCH-BEKK model is selected for the study of volatility spillover effect in dry bulk shipping market. Third, collect the Baltic international dry bulk freight index data, construct three kinds of dry bulk freight price index return rate series, describe the trend and basic statistical characteristics of the sequence, and grasp the basic characteristics of the rate of return on the whole. Based on the test of autocorrelation and ARCH effect, the sensitivity of volatility in three types of dry bulk shipping market is analyzed by using the GARCH-BEKK model, which is suitable for the research of volatility spillover effect in dry bulk shipping market. The causes of volatility spillover effects in the three dry bulk shipping markets are analyzed. Fourth, aiming at how to avoid the risks to participants caused by the fluctuation of dry bulk shipping market, This paper puts forward some suggestions and countermeasures from two aspects: how the government should strengthen the support to dry bulk shipping enterprises and how to strengthen the ability of shipping enterprises to resist risks. Finally, this paper summarizes the main contents of this study, and points out the shortcomings of this study and the future development direction.
【學位授予單位】：大連海事大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F551;F224

【引證文獻】

相關(guān)碩士學位論文 前2條

1 王曉薇;基于SVM和混沌時間序列的干散貨運價指數(shù)預測研究[D];大連海事大學;2013年

2 鐘維鑫;遠期運費協(xié)議市場技術(shù)分析方法有效性研究[D];大連海事大學;2013年

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本文編號：1662448