船舶基金投资风险与避险实证研究

发布时间：2018-05-06 20:10

  本文选题：船舶基金 + 运费衍生品市场　； 参考：《统计与决策》2011年21期

【摘要】：影响船舶基金价格决定的关键因素是船舶租金运费的时间序列特性,文章使用了巴拿马型散货船每日数据测试了船舶运费特殊性质的含义。研究结果表明,即使在信息充分的市场上,即期运费价格也具有很强的自相关,而远期价格的自相关则要弱得多;在调整后VEC模型框架内,即期价格和远期价格是协整的,并且对于平衡的偏离使得即期价格和远期价格逐渐趋同;最后,分析船舶基金的投资潜力,以及基金经理是否应在远期市场对冲运费风险取决于他的竞争对手进行套期保值,投资者是否可以通过持有投资组合中的船舶基金获得相同的收益等问题。
[Abstract]:The key factor influencing the price of ship fund is the time series characteristic of ship rental and freight. The paper uses the daily data of Panamanian bulk carrier to test the meaning of the special property of ship freight. The results show that even in the well-informed market, spot freight prices have a strong autocorrelation, while forward prices are much weaker, and within the framework of adjusted VEC model, spot and forward prices are cointegrated. And the deviation of balance makes spot price and forward price converge gradually. Finally, analyze the investment potential of ship fund, and whether the fund manager should hedge freight risk in forward market depends on his competitors to hedge. Whether investors can obtain the same return by holding ship funds in their portfolios and so on.
【作者单位】： 上海海事大学经济管理学院;
【基金】：国家自然科学基金项目(70872081) 教育部人文社会科学规划项目(09YJA630095) 国家社科青年基金项目(08CJY050)
【分类号】：F831.5;F416.474;F224
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本文编号：1853704