해운경기 버블지수 개발 연구

초록

This study develops a Shipping Market Bubble Index designed as an investment signal for vessel acquisition, addressing limitations of conventional bubble detection methods such as the Generalized Supremum Augmented Dickey- Fuller (GSADF) test. Existing approaches rely solely on identifying explosive freight rate dynamics, potentially misclassifying demand-driven booms as bubbles while offering limited decision support. Based on the definition of a bubble as asset prices exceeding intrinsic value, the index adopts a ratio-based valuation approach analogous to the housing price-to-rent ratio. The secondhand container vessel price index is divided by the Howe Robinson Containership Index (HRCI), where charter rates proxy the marginal return to vessel ownership. Using weekly data from September 2018 to June 2025 (n=277), the ratio is normalized to a 1-100 scale. Results indicate that freight and charter revenues during trough periods (index 1-20) significantly exceed those in high-index periods, confirming the index as a counter-cyclical investment signal. One-way ANOVA and independent- samples t-tests validate these differences (p<0.001). Historical evidence from the early-2000s shipping boom further supports the robustness of the findings. This paper introduces the first ratio-based bubble measure tailored to shipping markets. Although Min–Max normalization renders the index retrospective, expanding the dataset would enhance precision and real-time applicability.

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