Study On Fluctuant Character Of Freight Index In International Dry-bulk Shipping Subdivisional Market

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.