本文選題：上海出口集裝箱運價指數(shù)（SCFI）衍生品 + 適用性��； 參考：《上海交通大學》2013年碩士論文

【摘要】：上海航運交易所于2009年正式對外發(fā)布了新版上海出口集裝箱運價指數(shù)（SCFI），隨后又推出相關(guān)衍生品。上海出口集裝箱運價指數(shù)衍生品自開發(fā)之日起便飽受爭議。其是否對所有市場參與者都適用，在何種條件下最具適用性，如何預估現(xiàn)貨和期貨價格來做出衍生品交易決策，人們對于這些問題仍然缺乏清晰而深入的研究�；谝陨媳尘埃疚闹匮芯縎CFI衍生品的適用性和估價。 借鑒國際上對權(quán)威航運運價指數(shù)的定性和定量分析方法，首先介紹SCFI及其衍生品，與權(quán)威運價指數(shù)進行對比，發(fā)現(xiàn)SCFI的波動特性，并分析得出SCFI衍生品對中小貨主最具適用性的結(jié)論。然后對集裝箱海運適箱貨進行分類，量化分析運價波動對于不同類別商品出口貿(mào)易利潤的影響，得到適于進行SCFI衍生品交易的商品類別和貿(mào)易價格條款。在確定SCFI衍生品的適用條件后，通過協(xié)整檢驗和因果關(guān)系檢驗分析SCFI衍生品現(xiàn)期貨價格互相的影響關(guān)系，并運用VAR模型對現(xiàn)期貨價格進行預估。最后將SCFI衍生品現(xiàn)貨和期貨價格看作各自獨立的時間序列，運用神經(jīng)網(wǎng)絡(luò)模型估價，預測效果較VAR模型更好�？傮w結(jié)論是SCFI衍生品的市場適用性有限，在以CIF貿(mào)易價格條款出口低價格高密度商品時，，中小貨主運用該運價風險管理工具才最有意義。SCFI衍生品現(xiàn)貨和期貨價格可用VAR模型和BP神經(jīng)網(wǎng)絡(luò)模型進行短期預估，BP神經(jīng)網(wǎng)絡(luò)預估效果更好。在適用條件下，對現(xiàn)貨和期貨價格的良好預估有助于中小貨主做出SCFI衍生品交易決策。
[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.
【學位授予單位】：上海交通大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F552.6;F832.5;F224

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