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| 国际干散货运价波动与随机游走检验 | |
| 引用本文： | 李耀鼎,宗蓓华. 国际干散货运价波动与随机游走检验[J]. 大连海事大学学报(自然科学版), 2006, 32(4): 5-10 |
| 作者姓名： | 李耀鼎 宗蓓华 |
| 作者单位： | 上海海事大学,交通运输学院,上海,200135;上海海事大学,交通运输学院,上海,200135 |
| 基金项目： | 上海市高等学校科学技术发展基金 |
| 摘 要： | 为验证国际干散货航运市场的弱有效性,对波罗的海运价指数(BDI)进行了波动性分析和随机游走检验.运用ADF检验方法对BDI的对数序列进行平稳性和单整检验,结果证明BDI对数序列是一个非平稳过程,经一阶差分后是平稳过程,即BDI对数序列是一阶单整过程;通过ARCH LM检验认为BDI对数序列存在高阶ARCH效应,并用GARCH(1,1)模型消除了残差序列的条件异方差性;通过方差比检验法对国际干散货航运市场的收益率序列进行了检验,结果显示BDI的对数序列的随机游走假设被拒绝,国际干散货航运市场不是一个有效的市场. |
| 关 键 词： | 波罗的海运价指数 随机游走 ADF检验 GARCH模型 方差比检验 |
| 文章编号： | 1006-7736（2006）04-0005-06 |
| 收稿时间： | 2006-05-22 |
| 修稿时间： | 2006-05-22 |
Research on the volatility of freight and random walk test of international dry bulk market |
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| LI Yao-ding,ZONG Bei-hua. Research on the volatility of freight and random walk test of international dry bulk market[J]. Journal of Dalian Maritime University, 2006, 32(4): 5-10 | |
| Authors: | LI Yao-ding ZONG Bei-hua |
| Affiliation: | Transportation Management College, Shanghai Maritime Univ. ,Shanghai 200135 ,China |
| Abstract: | In order to verify the weak efficiency properties of international dry bulk shipping market,volatility of the BDI was analyzed and the random walk hypothesis was tested.Using augmented Dickey-Fuller test,the result shows that BDI logarithm series is nonstationary but the first difference is stationary,i.e.it is integrated of order one.High-level ARCH effect was certification in the BDI logarithm series by ARCH LM test,and GARCH(1,1)model was used to eliminate the conditional heteroscedasticity.Through variance ratio test,the result shows,that the random walk hypothesis of BDI logarithm series can be rejected and international dry bulk shipping market is inefficient. |
| Keywords: | baltic dry index random walk ADF test GARCH model variance ratio test |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ | |