What Makes the Dry-bulk Freight Rates Move?Economic Factors, Market Sentiments and Major Events

• Main Authors: Fu, Kai-Yuan, 傅楷元
• Other Authors: Chou,Heng-Chih
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/vb32xf

碩士 === 國立臺灣海洋大學 === 航運管理學系 === 107 === This study explores the key factors that might impact freight rates, especially focusing on the news in the market. Those factors include economic variables, market sentiments and major events. Referred to Culter et al. (1980), we treat the residuals from VAR as noises of economic variables and market sentiments, and consider the explanatory power of these news which came from past, contemporaneous, and future in regressions explaining freight changes on Capesize and Panamax vessels. Conclusion shows that economic variables have a lower explanatory power for the change of freight rates of the two types of ships, but the explanatory power improved after adding the emotional indicators which means the importance of news on market sentiments. Moreover, the regression relating future news has a dramatic influence on the freight rates. We also examine market moves coincident with major events, and find some market moves occur on days without any identifiable news releases, but most of major events are significantly related to market moves.