國際散裝乾貨船市場報酬率波動特性與時間變動風險係數之研究

The Study on Volatility Characteristics and Time Varying Risk Betas in the Dry Bulk Freight Market

陳永順(Yung-Shun Chen) ； 王旭堂(Shiu-Tung Wang)

《運輸學刊》 15卷4期 (2003/12) Pp. 437-453

摘要

本研究目的在探討國際散裝乾貨船市場三種標準船型之報酬波動特性和系統風險（β）之時間變化行為。經研究發現因不同船型在波動特性及時間變動之系統風險呈現不同屬性。同時也發現在各船型具有波動特性與其系統風險間存在顯著地正相關。因此，在市場波動之期間增加時，不同屬性的系統風險則傾向以不同方向移動。若各船型市場所具有系統風險（β）小於1時，則其系統風險傾向與時間變化呈現負向關係；反之，當各別船型所具有系統風險（β）大於1時，通常呈現系統風險與時間變化呈現正向關係。整體海運市場的波動和各船型之系統風險間呈現正相關性。所以，在國際海運整體市場風險增加時，對較有安全性或較風險性的各船型市場將受到不同程度影響。本研究結果將可提供從事市場投資者投資之決策參考，俾能提高投資獲利績效及降低投資風險。

關鍵字

波動持續性 ； 時間變動風險係數 ； 異質變異

並列摘要

The purpose of this paper is to investigate the characteristics of return volatility and the time-varying behaviour of systematic risk (beta) for three types of dry-bulk vessel. The findings suggest that different types exhibit differences in volatility and time variability. There is also evidence that the volatility of each market segment and its systematic risk are significantly positively related. Thus, the systematic risks of different types tend to move in different directions during periods of increased dry bulk freight market volatility. lf the market segments with systematic risk less than one, it tend to show negative time variability, while market segments with systematic risk greater than one, it 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. The result of this study may provide investors for reference to make investment decision, ensuring to achieve higher performance on investing profit and reduce investment risk.

並列關鍵字

Volatility persistence ； Time varying risk coefficient ； Heteroskedasticity

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