The empirical evidence of the leverage effect on volatility in international bulk shipping market
The empirical evidence of the leverage effect on volatility in international bulk shipping market
复制标题
国际散货航运市场杠杆效应波动的实证证据
DOI：
10.1080/0308883042000208301
复制
发表时间：
2004
影响因子：
3.5
通讯作者：
S. Wang
中科院分区：
文献类型：
--
作者：
Yunghan Chen;S. Wang
本文主要应用Nelson的指数广义自回归条件异方差(EGARCH)模型研究国际散货航运市场中的杠杆效应。研究了三种不同类型的散货船在选定的抽样期内的日收益率。我们发现，在相同的创新幅度下，所有收益率序列在收益率和波动性方面都表现出显著的负相关关系，市场下行时的杠杆效应比市场上行时的杠杆效应更显著，同时，较大的船舶比较小的船舶具有更大的杠杆效应。因此，过去的创新和当前的波动之间的不对称影响现象似乎是国际散货航运市场的内在本质。这一调查结果可让投资者深入了解价格回报波动的真实特征，有助于投资者预先安排资产组合，进行风险管理，例如使他们能够在盈利方面实现投资风险的降低和经营业绩的提高。
This paper mainly applies Nelson's EGARCH (Exponentially Generalized Autoregressive Conditional Heteroskedasticity) model to investigate the leverage effect in the presence of the international bulk shipping market. The daily return of three different types of bulk vessel in the sampling period selected has been examined. We find that all return series show a significantly negative relation in terms of return and volatility and the leverage effect on volatility is more significant in market downward movement than in market upward movement under the same magnitude of innovation, in addition, the larger vessels have much more leverage effect than smaller vessels contemporaneously. Therefore, it seems to be an inherent nature in the international bulk shipping market that the phenomenon of an asymmetric impact between past innovations and current volatility. This result from the investigation may provide investors with an insight into real characteristics of price return volatility, it is useful for investors to pre-arrange their portfolios of assets, risk management e.g. enabling them to achieve a reduction of investment risk and an increase of operation performance in profit gain.