The Construction, Testing and Hedge Strategy of Shipping Freight Rate Volatility Index

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Project title

Code/計畫編號

MOST104-2410-H019-004

Translated Name/計畫中文名

海運市場散裝船運價波動率指數的編製、資訊內涵與交易策略

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=11482447

Year

2015

Start date/計畫起

01-08-2015

Expected Completion/計畫迄

31-07-2016

Bugetid/研究經費

545千元

ResearchField/研究領域

管理科學

"⾃自1993年芝加哥選擇權交易所(CBOE)公布股票市場「波動率指數(Volatility Index)」的編制⽅方法之後，國際的主要股票市場多已建構適當的波動率指數，以衡量市場風險⽔水準與投資⼈人情緒。︒多數⽂文獻指出股價波動率指數與股價呈現顯著的負相關，因此波動率指數已經成為投資⼈人進⾏行投資操作之重要參考。︒海運市場也屬於⾼高風險產業，但是相對於⾦金融市場的創新，海運市場尚未發展適當的指標以衡量市場風險及投資⼈人情緒。︒波羅的海交易所 (BIFFEX)於1992 年推出的運價選擇權(Freight Rate Options)，近年來成交量快速成長，從市場參與程度和流通性來看，已經有⾜足夠的需求和條件編制散裝船運價的波動率指數。︒因此，本計劃擬以波羅的海交易所的運價選擇權市場資料，編制四種散裝船的運價波動率指數，作為海運業者營運及投資策略之參考。︒ 本計劃屬兩年期計畫，第⼀一年計畫主題爲：運價波動率指數的編製與預測能⼒力，利⽤用運價選擇權的市場資料，建構各船型的運價波動率指數。︒接著也擬在編製運價波動率指數之後，建構適當的波動率預測模型，希望有助於提升吾⼈人對運價波動率之預測績效。︒第⼆二年計畫主題爲：運價波動率指數之資訊內涵與交易策略績效。︒由於⽂文獻指出波動率指數具均數回歸特性，且與股價有負相關與不對稱現象，可以視為投資⼈人的情緒指標。︒同時，⽂文獻也證實槓桿假說無法解釋此⼀一關係，⽽而⾏行為財務學(Behavioral Finance)的觀點可以合理解釋，因此本計劃將檢測運價波動率指數之資訊內涵，並衡量以運價波動率指數執⾏行運價遠期合約(FFA)交易策略的績效。︒此研究成果可以彌補⽂文獻的不⾜足，延伸許多後續研究，也可以幫助業者掌握市場情緒。""Since CBOE released the construction of Volatility Index (VIX) in 1993, the main international stock markets have been constructed appropriate volatility indexes to measure market risk and investment sentiment. Most literature indicates that the VIX and stock price index showing a significant negative correlation, so the VIX has become an important reference for investors. Shipping market is also a high risk industry, but with respect to the innovation in financial markets, the shipping market has not yet developed adequate indicators to measure market risk and investor sentiment. Baltic Exchange launched freight option contracts in 1992, and recently their trading volume has been grown rapidly. There are sufficient conditions for the preparation of freight VIX. Therefore, this project is intended to use the market data of freight options to construct freight VIXs for four dry-bulk ship freight rates. This is a biennium project. The research purpose of the first year is the construction of freight VIXs and the testing of forecasting ability of freight VIXs. Meanwhile, the research purpose of the second year is the information contents of freight VIX and the performance of freight VIX as a timing indicator for investment. The results of the research can make up for the lack of literature, extend many follow-up studies, and help the shipping industry to grasp the market sentiment."

Keyword(s)

運價波動率指數
運價選擇權
散裝船運價
波動率預測
情緒指標
Freight VIX
Freight Options
Dry-bulk Shipping Freight
Volatility Forecasting
Sentiment Indicator

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The Construction, Testing and Hedge Strategy of Shipping Freight Rate Volatility Index

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