The Analysis of Lead-lag Relationship and Volatility Transmission Effect between Dry-bulk and Container Freight Index

• Main Authors: Hsiao Yao-Jen, 蕭堯仁
• Other Authors: Chou Heng-Chih
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/85346270045828679414

博士 === 國立臺灣海洋大學 === 航運管理學系 === 101 === 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.