上海出口集装箱运价期货市场有效性研究

发布时间：2018-03-09 09:52

本文选题：上海出口集装箱运价期货合约　切入点：市场有效性　出处：《上海交通大学》2012年硕士论文　论文类型：学位论文

【摘要】：上海出口集装箱运价期货合约的开发填补了我国航运衍生品市场的空白,为集装箱运输市场提供了避险和投资的工具。然而,上海出口集装箱运价期货合约自推出以来便饱受业界争议,人们对于该期货市场套保功能的发挥和潜在风险的大小仍是众说纷纭,缺乏清晰的、定量的认识。基于此背景,本文引入期货市场有效性检验方法对上海出口集装箱运价期货市场效率进行了检验。论文首先介绍了期货市场有效性理论的基本内容,将常用的期货市场有效性检验方法分为四类,并比较了四类方法的应用原理和优劣特点;从上海出口集装箱运价期货交易合约、交易平台、交易主体以及交易功能的角度,系统分析了上海出口集装箱运价期货市场的特征;选取套利空间检验法和模型预测比较检验法,对上海航运运价交易有限公司推出的欧洲航线和美西航线的期货交易市场进行了有效性检验。分析结果表明当前欧洲航线和美西航线期货市场均处于无效状态,市场远未达到成熟阶段,市场风险较大。论文研究成果对上海出口集装箱运价期货市场的发展具有参考价值。
[Abstract]:The development of Shanghai export container freight futures contract fills the gap in China's shipping derivatives market, and provides the container transportation market with a safe haven and an investment tool. Shanghai export container freight futures contract has been controversial since its launch. People still have different opinions about the function of hedging and the potential risks in the futures market, lacking a clear and quantitative understanding. Based on this background, this paper introduces the method of futures market validity test to test the efficiency of Shanghai export container freight futures market. Firstly, the paper introduces the basic content of futures market efficiency theory. This paper divides the commonly used methods into four categories, and compares the application principles and advantages and disadvantages of the four methods, from the point of view of Shanghai export container freight futures trading contract, trading platform, trading subject and trading function. This paper systematically analyzes the characteristics of Shanghai export container freight futures market, selects the arbitrage spatial test method and the model prediction comparison test method, In this paper, the validity of the futures market of European routes and American and Western routes launched by Shanghai Shipping and Freight Trading Co., Ltd is tested. The results show that the current futures markets of European routes and American and Western routes are in an invalid state. Market is far from reaching mature stage, market risk is bigger. The research results of this paper have reference value for the development of Shanghai export container freight futures market.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F552;F752.62;F724.5;F224

【引证文献】