| 干散货航运市场的长记忆性检验 |
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| 引用本文： | 王子羚,李序颖.干散货航运市场的长记忆性检验[J].上海海事大学学报,2016,37(4):49-54. |
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| 作者姓名： | 王子羚 李序颖 |
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| 作者单位： | 上海海事大学 经济管理学院,上海海事大学 经济管理学院 |
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| 摘 要： | 基于尚未有人对航运市场的一些指数收益率序列呈现的长记忆性特征进行全面的检验及对比分析，运用经典的R/S分析法、GPH检验法和ADF KPSS检验法等对波罗的海干散货指数(Baltic Dry Index，BDI)展开全面的检验及对比分析，并探讨金融危机事件是否会导致干散货航运市场具有长记忆性.通过与干散货航运市场四大船型运费指数的对比来反映整体市场与具体市场的异同.研究发现，无论是否剔除短期记忆的影响，BDI收益率序列具有一定的长记忆性，但不显著；BDI波动率序列具有显著的长记忆性；金融危机事件没有导致整体航运市场具有显著的长记忆性，但导致具体市场具有一定的长记忆性.
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| 关 键 词： | 长记忆性 BDI收益率序列 R/S分析法 GPH检验 ADF-KPSS检验 |
| 收稿时间： | 2016/2/21 0:00:00 |
| 修稿时间： | 2016/3/29 0:00:00 |
Test on long memory of dry bulk shipping market |
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| Abstract: | In view of the fact that no one carries out the comprehensive test and comparative analysis on the long memory characteristic of return series of indices in shipping market, the comprehensive test and comparative analysis on Baltic Dry Index (BDI) are carried out by the classical R/S analysis method, GPH test and ADF KPSS test. Then, whether financial crisis can result in the long memory of the dry bulk shipping market is discussed. By comparing with 4 freight indices related to ship type in the dry bulk shipping market, the similarities and differences between the overall market and the specific markets are reflected. The study finds that: whether the influence of short term memory is eliminated or not, BDI return series has certain but not significant long memory; BDI volatility series has significant long memory; the financial crisis does not make the overall shipping market be of significant long memory, but makes the specific markets be of certain long memory. |
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| Keywords: | long memory BDI return series R/S analysis method GPH test ADF-KPSS test |
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