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针对灵便型、巴拿马型和海岬型干散货航运市场间的互动关系问题,选取波罗的海干散货运价指数,应用多元广义自回归条件异方差中的BEKK方差分析模型,研究了干散货航运市场间的波动溢出效应.发现海岬型干散货航运市场对灵便型和巴拿马型干散货航运市场存在波动溢出效应,而灵便型和巴拿马型干散货航运市场对海岬型干散货航运市场不存在波动溢出效应,灵便型干散货航运市场和巴拿马型干散货航运市场之间存在双向波动溢出效应,Wald检验验证了上述结论的正确性.从而可为航运经营者规避干散货航运市场波动风险提供决策参考.
According to the interactive relationship between the handy, panamax and capesize dry bulk shipping markets, the Baltic Dry-Bulk Freight Index was selected and the BEKK ANOVA model in multivariate generalized autoregressive conditional heteroskedasticity was used to study the relationship between dry bulk shipping Market volatility spillovers found that capesize dry bulk shipping market for handy and Panama-based dry bulk shipping market volatility spillover effect, and handy and Panama-based dry bulk shipping market capesize dry bulk shipping market There is no volatility spillover effect, there is a two-way volatility spillover effect between the handy dry bulk shipping market and Panamax dry bulk shipping market, and the Wald test verifies the correctness of the above conclusion, thus avoiding the dry bulk shipping for shipping operators Risk of Market Volatility Provides Decision Reference.