期刊文献+
任意字段
题名或关键词
题名
关键词
文摘
作者
第一作者
机构
刊名
分类号
参考文献
作者简介
基金资助
栏目信息

国际干散货运价波动与随机游走检验 被引量：7

Research on the volatility of freight and random walk test of international dry bulk market
原文传递
导出
摘要 为验证国际干散货航运市场的弱有效性,对波罗的海运价指数(BDI)进行了波动性分析和随机游走检验.运用ADF检验方法对BDI的对数序列进行平稳性和单整检验,结果证明BDI对数序列是一个非平稳过程,经一阶差分后是平稳过程,即BDI对数序列是一阶单整过程;通过ARCH LM检验认为BDI对数序列存在高阶ARCH效应,并用GARCH(1,1)模型消除了残差序列的条件异方差性;通过方差比检验法对国际干散货航运市场的收益率序列进行了检验,结果显示BDI的对数序列的随机游走假设被拒绝,国际干散货航运市场不是一个有效的市场. In order to verify the weak efficiency properties of international dry bulk shipping market, volatility of the BDI was analyzed and the random walk hypothesis was tested. Using augmented Dickey-Fuller test, the result shows that BDI logarithm series is nonstationary but the first difference is stationary, i.e. it is integrated of order one. High-level ARCH effect was certification in the BDI logarithm series by ARCH LM test, and GARCH（ 1,1 ）model was used to eliminate the conditional heteroscedasticity. Through variance ratio test, the result shows, that the random walk hypothesis of BDI logarithm series can be rejected and international dry bulk shipping market is inefficient.
作者 李耀鼎 宗蓓华
机构地区 上海海事大学交通运输学院
出处 《大连海事大学学报》 CAS CSCD 北大核心 2006年第4期5-10,共6页 Journal of Dalian Maritime University
基金 上海市高等学校科学技术发展基金资助项目(02IK14)
关键词 波罗的海运价指数 随机游走 ADF检验 GARCH模型 方差比检验 baltic dry index random walk ADF test GARCH model variance ratio test
分类号 F505 [经济管理—产业经济]
  • 相关文献

参考文献12

  • 1BEENSTOCK M,VERGOTTIS A.An econometric model of the world market for dry cargo freight and shipping[J].Applied Econometrics,1989,21(3):339-256.
  • 2HAWDON D.Tanker freight rates in the short and long run[J].Applied Economics,1978,10(3):203-217.
  • 3TVEDT J.A new perspective on price dynamics of the dry bulk market[J].Maritime Policy & Management,2003,30(3):221-230.
  • 4BERG-ANDREASSEN J A.Some properties of international maritime statistics[J].Maritime Policy & Management,1996,23(4):381-395.
  • 5BERG-ANDREASSEN J A.The relation between period and spot rates in international maritime markets[J].Maritime Policy & Management,1997,24 (4):381-395.
  • 6VEENSTRA A W,Franses P H.A co-integration approach to forecasting freight rates in the dry bulk shipping sector[J].Transportation Research Part A,1997,31(6):447-458.
  • 7KAVUSSANOS M G,Nomikos N K.The forward pricing function of the freight futures market[J].The Journal of Futures Markets,1999,19(3):353-376.
  • 8GLEN D,ROGERS P.Does weight matters?A statistical analysis of the SSY capesize index[J].Maritime Policy & Management,1997,24(3):3515-364.
  • 9HALE C,VANAGS A.The market for second-hand ships:some results on efficiency using cointegration[J].Maritime Policy & Management,1992,19(1):31-140.
  • 10GLEN D.The market for second-hand ships:Further results on efficiency using co-integration analysis[J].Maritime Policy & Management,1997,24(3):245-260.

二级参考文献14

  • 1徐剑刚.我国期货市场有效性的实证研究[J].财贸经济,1995,16(8):14-19. 被引量：35
  • 2Bachelier,L,1900,The Random Character of Stock Market Prices [ M] .Massachusetts Institute of Technology Press,Cambridge,1964,Reprint.
  • 3Cowles,A,Can Stock Market Forecasters Forecast [ J ].Econometrica,1933,( 1 ):309 - 324.
  • 4Samuelson,P,Proof that properly Anticipated Prices Fluctuate Randomly[J].Industrial Management Review,1965 ,(6) :41 - 49.
  • 5Fama E,Efficient Capital Markets:A Review of Theory and Empirical Work[J ] .Journal of Finance,1970,25:383-417.
  • 6Fama,E,The Bahavior of Stock Market Prices[J] .Journal of Busir1ess,1965,38:34- 105
  • 7刘俏.市场的非有效性和行为金融[C].田国强编.现代经济学与金融学前沿发展[C].北京:商务印书馆,2002.718-720.
  • 8Campbell,J.Y,A.W.Lo & A.C.MacKinlay.The Econometrics of Financial Markets[ M].Princeton University Press,Princeton,New Jersey,1997.
  • 9Mills,T.C,The Econometric Modelling of Financial Time Series[ M].Cambridge University Press,1999.
  • 10Chow K.V.and Denning K.A simple multiple variance ratio test [J ] .Journal of Econometrics,1993,58:385 -401.

共引文献27

同被引文献48

  • 1李正宏.波罗的海运价指数波动规律研究与预测[J].上海海事大学学报,2004,25(4):69-72. 被引量：17
  • 2章超,程希骏,王敏.GARCH模型对上海股市的一个实证研究[J].运筹与管理,2005,14(4):144-146. 被引量：14
  • 3Berg-Andreassen, J.A. The Relation Between Period and Spot Rates in International Maritime Market[J]. Maritime Poliey&Management, 1997, 23 (4): 381- 395.
  • 4Veenstra A. W. and Franses, P. H. A Co-integration Approach to Forecasting Freight Rates in the Dry Bulk Shipping Sector[J]. Transportation Researeh, 1997, 31(6) : 447-458.
  • 5Manolis G. Kavussanos, Amir H. Alizadeh-M. Seasonality Patterns in Dry Bulk Shipping Spot and tim Charter Freight Rates[J]. Transportation Researeh, 2001 ,E: 443-467.
  • 6朱剑 乐美龙.波罗的海干散货运价指数时间序列建模.中国水运学术版,(8):12-13.
  • 7BEENSTOCKM, VERGOTTIS A. An Econometric Model of the World Market for Dry Cargo Freight and Shipping[ J ]. Applied Econometrics, 1989,21 (3) : 339 - 256.
  • 8HAWDON D. Tanker Freight Rates in the Short and Long Run[J ]. Applied Economics, 1978, 10 ( 3 ) : 203 - 217.
  • 9TVEDT J. A New Perspective on Price Dynamics of the Dry Bulk Market [J ]. Maritime Policy&Management, 2003,30(3) :221 - 230.
  • 10BERG-ANDREASSEN J A. The Relation Between Pe- riod and Spot Rates in International Maritime Markets [J]. Maritime Policy & Management, 1997,24 (4) :381 - 395.

引证文献7

二级引证文献42

大连海事大学学报
2006年 第4期

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部