波羅地海乾散貨運價指數之報酬與風險抵換關係

The Return-Risk Trade-off Relationship of Baltic Dry Index

周恆志(Heng-Chih Cou) ； 張超琦(Chao-Chi Chang)

《運籌與管理學刊》 10卷2期 (2011/12) Pp. 31-39

https://doi.org/10.7047/JLM.201112.0031

摘要

本文以跨期資本資產定價模型（ICAPM）檢驗波羅地海乾散貨運價指數（BDI）的風險與報酬抵換關係。實證結果顯示在樣本期間內，BDI指數的風險與報酬為負相關，但不顯著。若以子期間來分析，在金融風暴前，BDI指數的風險與報酬為正相關；但是在金融風暴發生後，此關係轉為負相關。本文進一步以移動視窗法估計BDI指數風險溢酬係數的變動，結果發現風險溢酬係數不是常數，在金融風暴前達到最大值，而在風暴期間轉為負值。這顯示金融風暴此一事件顯著改變了BDI指數的風險與報酬之關係。

關鍵字

波羅地海乾散貨運價指數 ； 跨期資本資產訂價模型 ； 報酬率 ； 風險 ； 風險溢酬係數

並列摘要

The study examines the return-risk trade-off relationship of Baltic Dry Index based on the intertemporal capital asset pricing model. The results show that the relationship is negative but insignificant during the whole sample period. However, the relationship is positive before the financial crisis in 2008 and turns into negative after the crisis. Furthermore, we also explore the evolution of risk premium coefficient for Baltic Dry Index based on the rolling window method and find that the coefficient is not a constant, but reaching to the maximum before the financial crisis and turning into negative during the financial crisis. This suggests that the financial crisis significantly changes the return-risk trade-off relationship of Baltic Dry Index.

並列關鍵字

Baltic Dry Index ； intertemporal capital asset pricing model ； rate of return ； risk ； risk premium coefficient

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