| Dry bulk shipping market is an important part of international shipping market and its cargos, including iron ore, coal, and gains, have significant impacts on people’s life. In recent years, the freight rate index has fluctuated violently since the situation of international economy becomes more complicated. During2008, the Baltic Dry index (BDI) had got the peak the lowest point in such a limited time, which made the participants loss a lot of money. Researcher at home and abroad has done much work regarding the volatility of the BDI and got some harvests. This paper subdivided the whole dry bulk shipping market into three detailed market according the size of vessel. Then it used the popular multi-variance GARCH-BEKK model to study the volatility of the three different markets. Besides the volatility persistence and sensitivity of different market, it focused on the volatility spillover effect existing between different markets and analyzed the causes of volatility spillover effect. This thesis was structured as follows:Firstly, it qualitatively investigated the dry bulk shipping market starting with the supply, demand, characters and freight rate index and then macroscopically analyzed influence factors of the dry bulk freight index volatility from a global perspective.Secondly, after defining the concept of volatility spillover effect, this paper introduced single variance GARCH models, multi-variance GARCH-BEKK models and SV model, which are often used to analyze the volatility spillover effect of different markets. By comparing the advantages and disadvantages of three kinds of model, this thesis picked up the most suitable model, which is multi-variance GARCH-BEKK model, to study the volatility spillover effect existing in the three different dry bulk shipping markets.Thirdly, after collecting the data of three kinds of vessels, it got the dry bulk daily returning rates series and described the trends of three returning rates series with their descriptive statistics, so as to grasp the basic features of returning rates series from overall view. It applied the multi-variance GARCH-BEKK model to analyze the persistence, sensitivity and volatility spillover effect of the three dry bulk shipping markets. And then it accounted the causes of volatility spillover effect existing between three dry bulk shipping markets.Fourthly, regarding to how to avoid the risk which volatility will bring, this paper suggested that the related government should give more supports to market participants, at the same time, the shipping companies should enhance their ability to resist risks.Finally, the general conclusions of the thesis were presented. Limitations and development direction of this paper were pointed out. |
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