本研究針對油輪運費市場是否為不對稱市場進行實證分析，探討三種典型的油輪：超級油輪 (VLCC)、蘇伊士極限型油輪 (Suezmax)、阿芙拉極限型油輪 (Aframax) 之運費市場在正負面資訊衝擊下，是否存在著不對稱反應與槓桿效果，並以ARMR-EGARCH模式及訊息衝擊曲線對三種船型之一年期論時傭船租金資料進行分析。研究結果顯示：由三種船型所估計出之模式及訊息衝擊曲線可得知，三種船型中只有Aframax之運費具有不對稱性與槓桿效果，當負面訊息越大時，其條件變異數也越大。而VLCC、Suezmax兩種船型資料所估計出來的模式顯示其不對稱現象與槓桿效果皆不顯著。建議油輪市場之投資者，可以從資訊面以外的角度來尋找影響運費市場較為顯著的潛在風險因子，以更精確地預測、解釋運費市場的波動。若從反應資訊面衝擊的數據來作分析，其預測與避險效果有限。

This research aims to explore whether the asymmetric volatilities and leverage effects under the news shocks exist in VLCC tanker freight market, Suezmax tanker freight market, and Aframax tanker freight market. This research used ARMA-EGARCH model and news impact curve to analyze the three tanker markets. The result showed that the asymmetric volatility and leverage effects under the news shocks existed in Aframax tanker freight market. In Aframax tanker freight market, when the negative news shocks happened, the conditional variances became larger. Besides, the leverage effects under the news shocks do not happen in VLCC and Suezmax tanker freight markets. The influence of news shocks in tanker freight markets is not significant. The news shocks are not a direct factor to influence freight on the tankers’ market. This paper suggests the tankers’ owners do not consider news shock as their main factors under forecasting and hedging.

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