期刊刊名：蘭陽學報 　 卷期：15期

篇名出版日期：2016年7月1日

作者：張超琦,Chao-Chi Chang

語言：English

關鍵字：Tanker Shipping Freight Indices, Long Memory, Risk Premium Coefficient,油輪運價指數,長期記憶,風險溢酬係數

被點閱次數：1次

閱讀時間：2sec

摘要：
This study aims to investigate whether we may find the return-risk tradeoff relationship among the observations of tanker shipping freight indices. We estimate the risk premium coefficient and test the significance concerning the GARCH, FIGARCH, HYHARCH and FIEGARCH models. Our results show that the risk premium coefficients, coefficients of ARCH-in-mean, for BDTI are positive and significant under the skewed Student-t distribution concerning the GARCH, FIGARCH and HYHARCH models. However, the return-risk tradeoff relationship doesn't exist for BCTI concerning the GARCH, FIGARCH, HYHARCH and FIEGARCH models. That means the higher risk of BDTI gives us the possibility of higher returns, but it also means higher potential losses. However, the situation doesn't exist for the BCTI. Our results suggest that we could extend these findings to the risk management in the tanker shipping freight markets.

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