An Analysis with News Shocks on Asymmetries and Leverage Effects of International Tanker Freight Market
碩士 === 國立成功大學 === 交通管理學系碩博士班 === 97 === This research aims to explore whether the asymmetric volatilities and leverage effects under the news shocks exist in VLCC tanker freight market, Suezmax tanker freight market, and Aframax tanker freight market. This research used ARMA-EGARCH model and news im...
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| Format: | Others |
| Language: | zh-TW |
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2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/75336763761582153922 |
| Summary: | 碩士 === 國立成功大學 === 交通管理學系碩博士班 === 97 === This research aims to explore whether the asymmetric volatilities and leverage effects under the news shocks exist in VLCC tanker freight market, Suezmax tanker freight market, and Aframax tanker freight market. This research used ARMA-EGARCH model and news impact curve to analyze the three tanker markets. The result showed that the asymmetric volatility and leverage effects under the news shocks existed in Aframax tanker freight market. In Aframax tanker freight market, when the negative news shocks happened, the conditional variances became larger. Besides, the leverage effects under the news shocks do not happen in VLCC and Suezmax tanker freight markets. The influence of news shocks in tanker freight markets is not significant. The news shocks are not a direct factor to influence freight on the tankers’ market. This paper suggests the tankers’ owners do not consider news shock as their main factors under forecasting and hedging.
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