篇名 | 油輪運價指數之報酬與風險抵換關係 |
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卷期 | 15 |
並列篇名 | The Return-Risk Tradeoff Relationship of Tanker Shipping Freight Indices |
作者 | 張超琦 |
頁次 | 001-011 |
關鍵字 | 油輪運價指數 、 長期記憶 、 風險溢酬係數 、 Tanker Shipping Freight Indices 、 Long Memory 、 Risk Premium Coefficient |
出刊日期 | 201607 |
本文旨在探究油輪運費指數的報酬與風險抵換關係。研究結果顯示,BDTI 指數在偏態t 分配 的長期記憶GARCH 模型(FIGARCH 及 HYHARC)下,其風險與報酬為正相關且顯著;但是, BCTI 指數在長期記憶GARCH 模型(FIGARCH 及 HYHARC)下,其風險與報酬的關係皆不顯 著。因此,對於油輪運價指數的報酬與風險抵換關係的估計,可將此結果納入考量,並可將其運 用在實務界從事油輪運費市場之風險管理。
This study aims to investigate whether we may find the return-risk tradeoff relationship among the observations of tanker shipping freight indices. We estimate the risk premium coefficient and test the significance concerning the GARCH, FIGARCH, HYHARCH and FIEGARCH models. Our results show that the risk premium coefficients, coefficients of ARCH-in-mean, for BDTI are positive and significant under the skewed Student-t distribution concerning the GARCH, FIGARCH and HYHARCH models. However, the return-risk tradeoff relationship doesn’t exist for BCTI concerning the GARCH, FIGARCH, HYHARCH and FIEGARCH models. That means the higher risk of BDTI gives us the possibility of higher returns, but it also means higher potential losses. However, the situation doesn’t exist for the BCTI. Our results suggest that we could extend these findings to the risk management in the tanker shipping freight markets.