How Do Market Sentiments Impact Freight Rate Volatility? Evidence from Long Memory and Range Volatility Approaches

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Project title

Code/計畫編號

MOST106-2410-H019-025

Translated Name/計畫中文名

市場情緒會影響運價波動率嗎？緩長記憶與變幅波動率模型的證據

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=12278758

Year

2017

Start date/計畫起

01-08-2017

Expected Completion/計畫迄

31-07-2018

Bugetid/研究經費

520千元

ResearchField/研究領域

經濟學

"歷史資料顯示，散裝船運價呈現巨幅的波動，對於海運業的經營造成極大的威脅。過去文獻多是藉由運力的供給與需求，以分析運價的波動特性。行為財務學（behavioral finance）興起之後，學術界開始探討市場情緒(market sentiments)對資產價格的影響。近年來市場情緒在金融資產方面的研究相當多，多數實證結果也支持市場情緒對資產價格的解釋能力。然而，行為財務學在海運業的研究剛在起步。基於此一背景，本計畫擬引用本研究擬利用Papapostolou et al. (2014)所提出的五個情緒指標衡量散裝船的市場情緒，針對散裝船的四種船型 (Capesize, Panamax, Supramax, Handysize)，分別探討散裝船運價波動率受市場情緒影響的方向與程度。五個情緒指標分別是船舶募資程度、船舶本益比、二手/新造船價比、船舶淨變動以及船舶周轉率。本計畫擬採用『緩長記憶(long memory)波動率模型』與『不對稱變幅波動率(range volatility)模型』衡量運價的波動率行程，前者可以準確刻畫運價的波動持續性(volatility persistence)，後者可以分別探討運價上漲與運價下跌的波動率。其次，本計畫擬利用主成份分析法(principal component analysis)，整合五種指標成為單一市場情緒指標，分別針對散裝船舶四種船型，探討運價波動率與市場情緒之關係。最後，本計畫也擬探討情緒指標對運價波動率的影響是否呈現不對稱性效果？亦即市場情緒對運價上漲與運價下跌時的波動率影響，是否具顯著差異？研究的樣本期間為1996 年1 月到2016 年12 月，共21 年。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，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。本計畫屬於財務與海運之間的跨領域研究，研究目的在於運用行為財務學的理論，建構適當的情緒指標，驗證市場情緒對運價波動率的解釋力。本計劃的實證結果應該有助於學術界明瞭風險衡量技術在海運風險管理上的應用績效，了解運價波動率受到市場情緒之影響的方向與程度，以及行為財務學是否有助於解釋運價風險。實證結果可以彌補文獻在這領域的缺乏，藉此延伸許多後續重要研究。此外，本計畫結果也有助於散裝海運公司掌握運價的波動特性與影響因子，應該可以提升對運價的預測績效。""The topic of this study is “How do market sentiments impact freight rate volatility? Evidence from long memory and range volatility approaches”, and the purpose of the study is to understand whether the market sentiments affect the risk profiles of dry-bulk freight price, to help the industry forecast and manage freight rate risk, and ultimately increase the operation efficiency. This study plans to use five sentiment proxies proposed by Papapostolou et al. (2014) to find the impacts on the volatility of dry bulk freight rates. The results of the study will help us grasp the behavioral characteristics of freight rate risk, and manage the risk successfully as well. The sampling data for testing in the study include the monthly data of the four vessel types in dry bulk shipping: capsize, panamax, handymax and supramax. Overall, the purpose of the study includes the following four parts: (1) fitting the data of freight rates into two volatility models: long memory approach and asymmetric range-based volatility approach, (2) testing the impact of market sentiments on fright arte volatility in dry bulk shipping markets, (3) examining the asymmetric effects of market sentiments, and (4) using principal component analysis to construct a comprehensive index for measuring market sentiments, and exploring the freight rate forecasting performance of the comprehensive sentiment index. The sample period is from 1996/01 to 2016/12, and the monthly data will be collected and analyzed. The results of the study will not only provide some valuable knowledge regarding the dynamics of freight rate risk, but also make up for the shortage of literature in this area. 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)

散裝航運
運價波動率
情緒指標
價格變幅
緩長記憶
Dry-bulk Shipping
Market Sentiments
Freight Rate Volatility
Price Range
Long Memory

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How Do Market Sentiments Impact Freight Rate Volatility? Evidence from Long Memory and Range Volatility Approaches

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