Price Co-Movement, Lead-Lag Relationship, Volatility Spillover and Cross-Hedge in Bulk Shipping Markets

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Project title

Code/計畫編號

MOST105-2410-H019-025

Translated Name/計畫中文名

運價與新舊船價格的連動性、領先落後關係、波動外溢與交叉避險

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=11899045

Year

2016

Start date/計畫起

01-08-2016

Expected Completion/計畫迄

31-07-2017

Bugetid/研究經費

354千元

ResearchField/研究領域

經濟學

"Stopford (2009)指出海運的新造船市場、二手船市場、運價市場是相互影響的，新造船價、二手船價與運價這三者之間的兩兩關係提供了市場的重要資訊，但是這三者之間的價格連動性及領先落後關係應該更值得探討，卻少有研究。此外，除了價格的領先落後關係外，金融市場更關心的風險傳遞過程(Risk transmission)或是波動外溢效果(Volatility spillover effect)，目前在海運的研究則更少。過去關於海運風險的研究多著重在個別價格變數波動率的衡量與分析，目前尚未有研究同時將新造船、二手船價格與運價視為整體來進行分析。和既有文獻相比，本文擬以新造船價、二手船價格、運價作為整體研究對象，同時分析三個價格變數在價格（平均數）與風險（變異數）層面的連動關係，而且採用聯立模型建構此一關係，以避免單一模型所產生的內生性問題。研究的樣本包含散裝船與油輪的各種主要船型，藉以比較其差異並嘗試歸納出規律。研究的樣本期間為1986年1月到2015年12 月，共29年，包含348筆月資料。本計劃也擬將以2008金融風暴作為切點，將樣本資料區分兩段子樣本資料，進一步分別就風暴前與風暴後進行上述的分析，藉以比較結果的差異，以了解金融風暴的影響。具體而言，本計劃包含四大部分。首先將根據變數資料間是否有共整合關係 (Co-integration)建構VAR模型或是VECM模型，並利用Granger因果關係檢定模型係數，藉以探討新造船、二手船與運價報酬的領先落後關係。其次，為了分析運價與新舊船價報酬率的連動性(Co-movements)，本計劃將採用三變量的動態條件相關係數模型(DCC)來進行。藉由觀察價格變數間的共變數以及相關係數，我們可以分析運價與新舊船價的連動性。並分析市場對外生衝撃變數的敏感程度，並進一步建構回歸模型檢測影響價格連動性的因子。接著，本研究將在VAR模型的基礎上，進行變異數分解(Variance decomposition)以估算市場波動外溢效果指數(Spillover index)，藉以精確掌握此三者的波動傳遞關係。最後，在瞭解海運市場間的風險傳遞效果之後，本計劃擬分析海運業者以『新船遠期合約』或是『二手船遠期合約』規避運價風險，檢驗交叉避險的可行性。此計劃的研究成果預期可以彌補文獻的不足，延伸許多後續研究，也可以幫助海運業者掌握市場連動性。""As Stopford (2009) pointed out, the markets for new-build ship, second-hand ship, and freight rate are inter-related, and the prices from these three markets provide essential information of the markets. However, the price led-lag relation and co-movement have not been well examined in the past. Besides, the more important issues about risk transmission or volatility spillover effects among these markets are also required more studies. Therefore, the proposed research plans to put these three markets together as a system so as to explore the the relations of price returns and volatility transmission among these three markets. Samples in the research contain all major ship types of dry-bulkers and tankers, and the sampling period is from Jan. 1988 to Dec. 2015. The research includes the following four parts. In the first part of research, we will analyze the lead-lag relation among these three markets by running the Johansen co-integration test in order to choose an adequate model from VAR and VECM for data modeling. Secondly, we plan to explore the price co-movement among markets by constructing a Engle (2002) DCC model to examine the dynamic coefficients of correlation. Thirdly, we will calculate VAR-based volatility spillover index, proposed by Diebold and Yilmaz (2012), to grasp the volatility transmission among markets. Finally, based on the understanding of correlation among markets, we plan to simulate the freight rate risk management performance of cross-hedge strategy by employing forward ship price contracts. 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)

船價
運價
連動性
領先落後關係
波動外溢效果
交叉避險
Ship Price
Freight Rate
Co-movement
Lead-lag relation
Volatility spillover
Cross-hedge

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Price Co-Movement, Lead-Lag Relationship, Volatility Spillover and Cross-Hedge in Bulk Shipping Markets

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