頁籤選單縮合
題 名 | 波羅地海乾散貨運價期貨動態避險比率之估計=The Hedge Performance of the Dynamic Hedge Ratios in the Baltic Dry Index Futures |
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作 者 | 周恆志; 梁金樹; 吳志淵; | 書刊名 | 國立臺灣海洋大學海運學報 |
卷 期 | 22:1 2013.06[民102.06] |
頁 次 | 頁73-91 |
分類號 | 561.76 |
關鍵詞 | 運價期貨; 避險比率; 避險績效; 固定條件相關模型; 動態條件相關模型; Freight rate futures; Hedge ratio; Hedge performance; CCC model; DCC model; |
語 文 | 中文(Chinese) |
中文摘要 | 2008年6月18日國際航運期貨交易所(Imarex)開辦以BDI的運價期貨電子交易,吸引更多的航運相關經營者加入交易,因此而增加市場的流動性,使運價期貨市場更具效率。運價期貨的避險績效決定於避險比率的估計效率,良好的避險比率要能準確捕捉現貨與期貨價格相關性的動態變化。本文以BDI指數與BDI指數期貨為研究對象,樣本期間為2008年6月24日到2010年5月7日,比較最小風險避險比率(MVHR)、固定條件相關模型(CCC)、與動態條件相關模型(DCC)三種估計法估計的避險比率之避險績效。實證結果顯示,樣本內測試以CCC模型的避險績效最佳,樣本外的避險績效則是以DCC模型的避險績效表現最好。 |
英文摘要 | The International Maritime Exchange (Imarex) opened the electronic trading to the BDI freight rate futures since 18 June 2008, which attracts more shipping operators to join in the transaction, thus increasing market liquidity, and making the freight rate futures market more efficient. The performance of the freight rate futures is affected by the estimated efficiency of the hedge ratio. An efficient hedge ratio estimation can help capture the dynamic changes of the correlation between the spot and futures prices. In this paper, the BDI and BDI futures are explored, and the sample period is from 24 June 2008 to 7 May 2010. Three alternative hedge ratio estimation models, Minimal Variance Hedge Ratio (MVHR), Constant Conditions Correlation model (CCC) and Dynamic Conditions Correlation model (DCC) are applied and compared The empirical results show that the best performance of in-sample fitting is the hedge ratio estimated by CCC model; but the hedge ratio estimated by DCC model has the best performance for the out-of-sample data. |
本系統中英文摘要資訊取自各篇刊載內容。