The Study of Spillover Effects for BDI and International Market Index

• Main Authors: Tzu-Yun Su, 蘇梓勻
• Other Authors: Jo-Hui Chen
• Format: Others
• Language: zh-TW
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/26792980126295113506

碩士 === 中原大學 === 企業管理研究所 === 94 === Baltic Dry Index (BDI), the main indicator for commodity-freight rates, can reflect the boom of the bulk transportation industry which classified as a perfect competition industry. When the business cycle is expanded, global infrastructure and trade volume are heightened, so that the demand for the raw material will increase a lot. The import and export countries with abundant resource such as coal, petroleum and steel will also be influenced. Due to the demand of raw material relying on bulk transportation, we need to consider the demand and supply of shipping market and the crude oil price reflecting to the shipping cost and freight rate index. This research employs BDI as a major indicator and utilitzes GARCH(1,1)-MA(1) model to analyze the spillover effect of BDI and performance for raw material indexes (i.e. West Texas Intermediate, Reuters/Jefferies Commodity Research Bureau, and global steel indexes). Moreover, we further examine the spillover effect between BDI and seven transporting stock indexes (i.e. Taiwan, China, Korea, U.S.A., Mexico, Germany, and Sweden). We use the performance index to find out the better focecasting results of spillover effect for investors. The empirical results indicate that a fluctuated freight rate index not only influences to the country with lacks of raw material, but also highly affect transporting stock index for main import and export countries. The results also show that international market indexes including transporting stock indexes for China, Germany, Korea, Mexico, Taiwan, and U.S.A, WTI and BDI all have spillover effects. We found that WTI and transporting stock indexes of China, Germany, and Korea influence BDI, while BDI influence transporting stock index for U.S.A. reflecting to the spillover effects of returns. Furthermore, the volatility of spillover effect mainly influence on Asian countries, especially for China because of its two-way relations in BDI and transporting stock index. By means of the performance indexes (MAE、MAPE、RMSE) to evaluate the focecasting, we affirm that the volatility of spillover effect between BDI and international market indexes is mostly significant.