上海出口集装箱运价指数衍生品适用性及估价研究

发布时间：2018-04-18 07:11

本文选题：上海出口集装箱运价指数（SCFI）衍生品 + 适用性　；参考：《上海交通大学》2013年硕士论文

【摘要】：上海航运交易所于2009年正式对外发布了新版上海出口集装箱运价指数（SCFI），随后又推出相关衍生品。上海出口集装箱运价指数衍生品自开发之日起便饱受争议。其是否对所有市场参与者都适用，在何种条件下最具适用性，如何预估现货和期货价格来做出衍生品交易决策，人们对于这些问题仍然缺乏清晰而深入的研究。基于以上背景，本文着重研究SCFI衍生品的适用性和估价。借鉴国际上对权威航运运价指数的定性和定量分析方法，首先介绍SCFI及其衍生品，与权威运价指数进行对比，发现SCFI的波动特性，并分析得出SCFI衍生品对中小货主最具适用性的结论。然后对集装箱海运适箱货进行分类，量化分析运价波动对于不同类别商品出口贸易利润的影响，得到适于进行SCFI衍生品交易的商品类别和贸易价格条款。在确定SCFI衍生品的适用条件后，通过协整检验和因果关系检验分析SCFI衍生品现期货价格互相的影响关系，并运用VAR模型对现期货价格进行预估。最后将SCFI衍生品现货和期货价格看作各自独立的时间序列，运用神经网络模型估价，预测效果较VAR模型更好。总体结论是SCFI衍生品的市场适用性有限，在以CIF贸易价格条款出口低价格高密度商品时，，中小货主运用该运价风险管理工具才最有意义。SCFI衍生品现货和期货价格可用VAR模型和BP神经网络模型进行短期预估，BP神经网络预估效果更好。在适用条件下，对现货和期货价格的良好预估有助于中小货主做出SCFI衍生品交易决策。
[Abstract]:The Shanghai Shipping Exchange officially released a new version of the Shanghai Export Container Freight Index in 2009, followed by related derivatives.Shanghai export container price index derivatives since the date of development has been controversial.Whether it is applicable to all market participants, under what conditions, and how to estimate spot and futures prices to make derivatives trading decisions, there is still a lack of clear and in-depth research on these issues.Based on the above background, this paper focuses on the applicability and valuation of SCFI derivatives.Referring to the methods of qualitative and quantitative analysis of authoritative shipping price index in the world, this paper first introduces SCFI and its derivatives, and compares them with the authoritative shipping price index, and finds out the fluctuation characteristics of SCFI.The conclusion that SCFI derivatives are most applicable to small and medium cargo owners is analyzed.Secondly, the paper classifies the containerized goods, analyzes quantitatively the influence of the fluctuation of freight rate on the profit of export trade of different kinds of commodities, and obtains the commodity categories and the terms of trade price suitable for SCFI derivatives trading.After determining the applicable conditions of SCFI derivatives, the paper analyzes the relationship between the existing futures prices of SCFI derivatives by cointegration test and causality test, and uses VAR model to predict the current futures prices.Finally, the spot and futures prices of SCFI derivatives are regarded as independent time series, and the prediction effect is better than that of VAR model.The overall conclusion is that the market applicability of SCFI derivatives is limited, when exporting low-priced high-density goods under the terms of CIF trade prices,The small and medium cargo owners use the price risk management tool to make the most sense. The VAR model and BP neural network model can be used to predict the spot and futures prices of the derivatives and the BP neural network is more effective.Under applicable conditions, a good estimate of spot and futures prices will help small and medium-sized shippers to make SCFI derivatives trading decisions.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F552.6;F832.5;F224

【相似文献】