Konteyner navlun endekslerinde EGARCH modeline dayalı kaldıraç etkisi analizi

Liner shipping market is considered as a seasonal, cyclical and highly volatile market. Due to the nonstationary and nonlinear nature of freight series and the complexity of influencing factors, it is difficult to analyze the fluctuations in the liner shipping market. China Containerized Freight Index (CCFI) and Shanghai Containerized Freight Index (SCFI) has been developed by the Shanghai Shipping Exchange to reflect the overall fluctuation level of international container shipping market. Nowadays, as an economic indicator CCFI & SCFI causes widespread concern by the shipping industry as well as the academic world about its characteristics and volatility. This thesis mainly focuses on the leverage effect, or in other words asymmetric volatility, in container shipping. The leverage effect helps us to understand the negative relationship between asset value and volatility. The purpose is to examine the properties of leverage effect in main liner shipping indicators, namely CCFI and SCFI return data between 2010 and 2018 by employing an Exponential Generalized Autoregressive Conditional Heteroscedasticity (EGARCH) model. The results of empirical analysis show that both CCFI and SCFI have obvious leverage effects, meaning the impact of external shocks in liner shipping market is asymmetric. Both indices have negative leverage effect which means that negative shocks or in other words bad news have more impact on the container shipping market than positive shocks or in other words good news.