發(fā)布時間：2018-03-09 09:52

  本文選題：上海出口集裝箱運價期貨合約　切入點：市場有效性　出處：《上海交通大學》2012年碩士論文　論文類型：學位論文

【摘要】：上海出口集裝箱運價期貨合約的開發(fā)填補了我國航運衍生品市場的空白,為集裝箱運輸市場提供了避險和投資的工具。然而,上海出口集裝箱運價期貨合約自推出以來便飽受業(yè)界爭議,人們對于該期貨市場套保功能的發(fā)揮和潛在風險的大小仍是眾說紛紜,缺乏清晰的、定量的認識。 基于此背景,本文引入期貨市場有效性檢驗方法對上海出口集裝箱運價期貨市場效率進行了檢驗。論文首先介紹了期貨市場有效性理論的基本內(nèi)容,將常用的期貨市場有效性檢驗方法分為四類,并比較了四類方法的應用原理和優(yōu)劣特點;從上海出口集裝箱運價期貨交易合約、交易平臺、交易主體以及交易功能的角度,系統(tǒng)分析了上海出口集裝箱運價期貨市場的特征;選取套利空間檢驗法和模型預測比較檢驗法,對上海航運運價交易有限公司推出的歐洲航線和美西航線的期貨交易市場進行了有效性檢驗。分析結(jié)果表明當前歐洲航線和美西航線期貨市場均處于無效狀態(tài),市場遠未達到成熟階段,市場風險較大。 論文研究成果對上海出口集裝箱運價期貨市場的發(fā)展具有參考價值。
[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.
【學位授予單位】：上海交通大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F552;F752.62;F724.5;F224

【引證文獻】

相關碩士學位論文 前2條

1 梁瑋;上海出口集裝箱運價指數(shù)衍生品適用性及估價研究[D];上海交通大學;2013年

2 李靜茹;航運企業(yè)參與運價衍生品市場策略研究[D];大連海事大學;2013年

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本文編號：1588023