本文選題：船舶基金 + 運(yùn)費(fèi)衍生品市場　； 參考：《統(tǒng)計(jì)與決策》2011年21期

【摘要】：影響船舶基金價(jià)格決定的關(guān)鍵因素是船舶租金運(yùn)費(fèi)的時(shí)間序列特性,文章使用了巴拿馬型散貨船每日數(shù)據(jù)測試了船舶運(yùn)費(fèi)特殊性質(zhì)的含義。研究結(jié)果表明,即使在信息充分的市場上,即期運(yùn)費(fèi)價(jià)格也具有很強(qiáng)的自相關(guān),而遠(yuǎn)期價(jià)格的自相關(guān)則要弱得多;在調(diào)整后VEC模型框架內(nèi),即期價(jià)格和遠(yuǎn)期價(jià)格是協(xié)整的,并且對于平衡的偏離使得即期價(jià)格和遠(yuǎn)期價(jià)格逐漸趨同;最后,分析船舶基金的投資潛力,以及基金經(jīng)理是否應(yīng)在遠(yuǎn)期市場對沖運(yùn)費(fèi)風(fēng)險(xiǎn)取決于他的競爭對手進(jìn)行套期保值,投資者是否可以通過持有投資組合中的船舶基金獲得相同的收益等問題。
[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.
【作者單位】： 上海海事大學(xué)經(jīng)濟(jì)管理學(xué)院;
【基金】：國家自然科學(xué)基金項(xiàng)目(70872081) 教育部人文社會科學(xué)規(guī)劃項(xiàng)目(09YJA630095) 國家社科青年基金項(xiàng)目(08CJY050)
【分類號】：F831.5;F416.474;F224
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本文編號：1853704