中国大陆国际大宗航运价格风险异动的制度解析与政策引申

发布时间：2018-04-17 07:49

本文选题：SCFI(上海出口集装箱运价指数) + 价格风险　；参考：《商业经济研究》2017年23期

【摘要】：本文选择大陆唯一的上海航运运价交易所推出的美西航线(USWC)和欧洲航线(EUPE)为样本,以上海出口集装箱运价指数(SCFI)期货推出日为时间节点,综合运用描述性检验、相等性检验和附加虚拟变量的T-ARCH模型对其进行波动性检验,以判定大陆国际大宗航运价格的风险异动。实证结果一致表明,运价期货上市后现货价格的波动即风险显著增大,提示SCFI期货市场的有效性低下。继而,从组织发起的规范与合理、交易规则的健全与稳定、参与主体的属性与规模等视角予以制度解析。最后,尝试从行业定位、政府规制、市场组织和环境支持等方面给出适应性的政策改进建议。
[Abstract]:In this paper, we choose USWCand EUPEI, the only Shanghai Shipping Exchange in the mainland, as samples, take Shanghai Export Container Price Index (SCFI) futures as the time node, and use descriptive test synthetically.The equality test and the T-ARCH model with virtual variables are used to test their volatility in order to determine the risk changes of continental international shipping prices.The empirical results show that the volatility of spot price is significantly increased after the freight futures are listed, which indicates that the effectiveness of SCFI futures market is low.Then, the institutional analysis is carried out from the perspectives of the standardization and reasonableness of the organization, the perfection and stability of the transaction rules, the attributes and the scale of the participants.Finally, this paper tries to give adaptive policy suggestions from the aspects of industry orientation, government regulation, market organization and environmental support.
【作者单位】：宁波大红鹰学院金融贸易学院;
【基金】：宁波市软科学项目(2014A10065) 浙江省社科重点基地项目(2015JDN04) 浙江省高等教育教学改革项目(JG2015202)
【分类号】：F552

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