A Study on the Hedging Performance of Dry Bulk Freight Futuress

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基本資料

Project title

Code/計畫編號

NSC101-2410-H019-019

Translated Name/計畫中文名

乾散貨運價期貨避險績效之研究

Project Coordinator/計畫主持人

Heng-Chih Chou

Funding Organization/主管機關

National Science and Technology Council

Department/Unit

Department of Shipping and Transportation Management

Website

https://www.grb.gov.tw/search/planDetail?id=2632097

Year

2012

Start date/計畫起

01-08-2012

Expected Completion/計畫迄

31-07-2013

Bugetid/研究經費

557千元

ResearchField/研究領域

交通運輸

散裝航運業屬於景氣循環產業，運價的波動經常急漲急跌，船東與貨商必須面臨巨幅運價風險。挪威奧斯陸的國際海運交易所(International Maritime Exchange；IMAREX)自2005年推出乾散貨運價期貨，以波羅地海乾散貨價指數為標的物，理論上有助於業者管理其運價風險，然而過去文獻尚未有研究檢驗IMAREX乾散貨運價期貨的避險績效。期貨的避險績效評估可概分為短期與長期，其中短期的避險績效決定於避險比例是否正確估計，以捕捉運價期貨與現貨價格的相關性，而長期的避險績效則決定於運價期貨與現貨價格是否存在長期均衡關係。因此本計畫擬進行兩年研究，分別檢驗IMAREX乾散貨運價期貨的短期與長期避險績效。本研究計畫的成果應該有助於提升航運業的風險管理績效，也可彌補學術文獻在此一領域的缺乏。第一年子計畫主題為：乾散貨運價期貨的短期避險績效：避險比例之估計。本計畫擬採用動態條件相關模型來估計運價期貨的避險比例，並與最小變異避險比例估計法或固定條件相關模型的避險績效相比較，以瞭解何種模型能夠提升運價期貨的避險績效。第二年子計畫主題則為：乾散貨運價期貨的長期避險績效：共整合分析之應用。本計畫將採用向量誤差修正模型(Vector Error Correction Model)對運價期貨與現貨價格進行共整合分析(co-integration)，藉以探討運價期貨與現貨價格之間是否存在顯著的長期均衡關係。為考慮到期月份(time-to-maturity)對實證結果的影響，本計畫分析的運價期貨樣本包括到期月份一個月、一季、半年與一年的期貨合約。"Dry bulk shipping industry in essence is a cyclical industry. Since the freight rates are fluctuated, ship owners have to face huge freight rate risk. In 2005 the dry bulk freight futures, taking Baltic dry index as its underlying asset, was launched by International Maritime Exchange (IMAREX). Freight futures could help the industry manage freight risk in theory; however, the hedging performance of freight futures has not been tested over the past literature. As we know, the hedging performance of futures can be summarized into short-term and long-term performances. The short-term hedging performance depends on the correct hedge ratio is estimated to capture the relevance between freight futures and spot prices; while the long-term hedging performance is determined by the existence of long-run equilibrium between freight futures and spot price. This research project therefore intended to study for two years, so as to understand the short-term and long-term hedging performance of IMAREX dry bulk freight futures. I believe that the results of the study will not only provide some valuable knowledge regarding the price dynamics of freight futures, but also make up for the shortage of literature in this area. The theme of the first-year project is “The short-term hedging performance of dry bulk freight futures: the estimations of hedge ratios.” This part plans to use dynamic conditional correlation model to estimate the hedge ratios of freight futures; and the hedge performance will be measured and compared with those of the minimum variance hedge ratio, and constant conditional correlation model, to understand which model can enhance the hedge performance of freight futures. The theme of second-year project is “The long-term hedging performance of dry bulk freight futures: the application of co-integration analysis.” Vector Error correction model will be applied in this project to examine the existence of significant long-run equilibrium relationship between freight futures and spot prices. To consider the impact of time-to-maturity, this project will analyze sample futures with different maturities, including 1-month, 3-momth, 6-month and one year contracts. Meanwhile, the theme of the second-year project is"

Keyword(s)

運價風險
運價期貨
避險比例
避險績效
共整合分析
freight risk
freight futures
hedge ratio
hedge performance
co-integration

DSpace CRIS

A Study on the Hedging Performance of Dry Bulk Freight Futuress

基本資料

Description