【作者】 陈庆辉；

【导师】 吕靖；

【作者基本信息】 大连海事大学 ， 交通运输规划与管理， 2004， 硕士

【摘要】 本文分析了国际干散货航运市场的波罗的海运价指数(BCI、BPI)和海德运价指数(JEHSI)的对数变化率，建立运价指数日收益率的条件异方差模型，考察指数的波动规律，得出指数波动的内在规律性，为航运企业经营者及投资者提供把握市场态势、规避价格风险的有效依据。 条件异方差模型已广泛地应用于经济现象的分析研究中，并取得了良好的效果。本文将其运用于国际干散货航运市场，也取得了很好的效果。 首先，对目前国际干散货航运市场做一个基本的分析，阐述了市场的构成、基本形态、船队的构成和发展趋势。 其次，介绍了国际干散货航运市场运价指数，着重介绍了波罗的海干散货运价指数和海德灵便型船运价指数产生的历史背景、指数航线构成以及影响运价指数变化的各种因素，然后对指数进行变换，构建各指数的日收益率序列，对各序列进行基本的统计分析，得出了序列有别于传统时间序列正态分布的尖峰厚尾性，说明了序列波动的群聚特征。 最后，从国际干散货航运市场的运价指数(BCI、BPI、JEHSI)的对数变化率入手，建立运价指数日收益率的条件异方差模型，刻画了运价指数波动的内在规律性。在此基础上提出了在国际干散货航运市场的经营策略。更多还原

【Abstract】 This thesis analyzes the logarithm change rate of BCI BPI and JEHSI, then set up a ARCH model of the freight index’s daily profit rate to find the internal rule of freight index fluctuation and then to supply helpful reference for operators and investors so that they can grasp changes in the market and avoid the price risk.ARCH model has already been widely applied to analyze the economic phenomena, and attained good effect. This thesis applies it to international dry-bulk shipping market and also attains good result.Firstly, this thesis makes a basic analysis of the present international dry-bulk shipping market at present.Secondly, it introduces the freight index of international dry-bulk shipping market, and then switches the freight index to a series of daily profit rate. After analyzing the series, we find its excess kurtosis and fat tails are different from traditional time series with normal distribution. It has the character of volatility clustering.Finally, this thesis proceeds with the logarithm change rate of BCI BPI and JEHSI, set up a ARCH model of the freight index’ s daily profit rate, and describes the internal rule of the freight index fluctuation. On the basis of that, it advances some operation strategies in international dry-bulk shipping market.更多还原