臺灣博碩士論文加值系統

金融海嘯不僅對全球金融市場造成衝擊，亦對航運市場產生嚴重影響。一般而言，散裝船與貨櫃船運價的關係，應具有長期均衡關係。然而在面臨金融海嘯的衝擊，代表散裝船運價的BDI大幅下跌，而代表貨櫃船運價的CCFI卻回復至金融海嘯前的運價水準，兩運價間的變動關係於金融海嘯後是否仍一致需加以檢視。此外，本研究建立散裝船與貨櫃船運價領先落後關係的三項假說，並以金融海嘯及歐債危機事件作為假說驗證，提供航商或投資人在面對景氣循環與運價波動不確定下之投資策略參考。基此，本研究運用共整合模型、Granger因果關係檢定與BEKK-GARCH模型，探討BDI與CCFI兩運價間的領先落後關係，以及運價的波動傳遞效果。

共整合檢定顯示金融海嘯並未破壞兩運價的長期均衡關係，而因果關係檢定則呈現當航運市場經歷金融海嘯的衝擊時，BDI較快反應景氣變化的影響，至金融海嘯後面對景氣復甦時，反呈現CCFI較早反應的跡象，此結果與價格形成假說驗證相符合。

最後，在兩運價的報酬波動傳遞效果的結果發現，金融海嘯前後兩運價的波動在長期皆具有持續性的傳遞效果，但短期衝擊效果於金融海嘯時呈現BDI對CCFI存在外溢效果，而金融海嘯後反呈現CCFI對BDI存在外溢效果，因此金融海嘯的發生，可視為一個干擾因素。

This study investigates the return lead-lag and volatility transmission between dry bulk shipping and container shipping freight markets over the period before, during and after the 2008 financial tsunami. Both cointegration analysis and the Granger causality test are applied to explore the lead-lag relationship between the Baltic dry index (BDI) and the China container freight index (CCFI). Then, in the study we established three hypothsis to explain the lead-lag relationship. Besides, we employed BEKK -GARCH model, which allows for transmission in freight volatility.

On the whole, the empirical results show that the BDI reflects the economic climate earlier than the CCFI during the financial tsunami, while the CCFI leads the BDI after the financial tsunami. The price-formation hypothesis could well explain the relationship. Moreover, volatility spillovers are found in most sub-periods. The dynamics of the conditional volatilities differ, but causality links in the variance are found to be strong and bidirectional in normal periods, and unidirectional during the financial tsunami. Therefore, the occurrence of the financial tsunami could be regarded as an interference factor.

第一章、緒論 …………………………………………………… 1
1.1 研究動機 …………………………………………… 1
1.2 研究目的 …………………………………………… 4
1.3 研究方法與流程 …………………………………… 5
1.4 研究範圍與限制……………………………………… 8
1.5 研究架構 …………………………………………… 10
第二章、文獻回顧 ……………………………………………… 11
2.1 航運市場與景氣變動………………………………… 11
2.2 運價領先落後相關研究……………………………… 20
2.3 運價波動傳遞相關研究……………………………… 25
第三章、航運運價與金融海嘯…………………………………… 29
3.1 散裝船運價…………………………………………… 29
3.2 貨櫃船運價…………………………………………… 32
3.3 金融海嘯事件………………………………………… 37
第四章、研究方法與假說設立 ………………………………… 43
4.1 多元結構轉變模型 ………………………………… 43
4.2 共整合與因果關係檢定……………………………… 48
4.3 雙變量BEKK-GARCH模型 …………………………… 51
4.4 假說設立……………………………………………… 55
第五章、運價領先落後關係與波動傳遞效果之實證分析……… 61
5.1 樣本資料……………………………………………… 61
5.2 單根檢定……………………………………………… 64
5.3 共整合檢定…………………………………………… 65
5.4 因果關係檢定………………………………………… 66
5.5 雙變量BEKK-GARCH模型實證分析………………… 67
5.6 假說驗證與歐債危機之因果關係檢定……………… 73
第六章、結論與建議……………………………………………… 78
6.1 研究結論……………………………………………… 78
6.2 研究建議……………………………………………… 81
參考文獻 ………………………………………………………… 82

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