干散货远期运费市场功能实证研究(可编辑).docVIP

干散货远期运费市场功能实证研究 FREIGHT FORWARD AGREEMENT MARKET IN INTERNATIONAL DRY BULK SHIPPING ABSTRACTThe fluctuation of ocean freight is the embodiment of market riskDuring the past two years, the BDI soared from about 2000 to more than 10000.This put unprecedented pressure on the import and export companies in China. They need to know and master the risk management tool of ocean freightThe forward freight agreement is the most active ocean freight risk management tool. The main task of the thesis is to study the hedge function and price-discovery function of freight forward agreement market with econometric methods. The results show that the correlation coefficient between the spot price and FFA price is strong. The hedge function of theFFA market is not obvious. There is a cointegration relation between spot price and FFA price. The FFA price has a strong induction effect to spot priceThe price-discovery function of the FFA market is obviousIn voyage charter line, the induction effect from spot price to FFA price is weak. In time charter line, when closer to the delivery date, the induction effect from spot price to FFA price becomes weakBased on the result from the empirical analysis, the thesis explains why the BDI soared during the past two years and points out the necessary for China to participate in the FFA market and establish its own. The results of the thesis will provide the theoretical support to the FFA market participants and can give reference to the risk management of related industries KEY WORDS: freight forward agreement, hedge, cointegration test,price discovery, Granger causality test上海交通大学 学位论文原创性声明 本人郑重声明:所呈交的学位论文,是本人在导师的指导下,独立进行研究工作所取得 的成果。除文中已经注明引用的内容外,本论文不包含任何其他个人或集体已经发表或撰写 过的作品成果。对本文的研究做出重要贡献的个人和集体,均已在文中以明确方式标明。本 人完全意识到本声明的法律结果由本人承担。学位论文作者签名:朱剑 日期: 年月日 上海交通大学 学位论文版权使用授权书 本学位论文作者完全了解学校有关保留、使用学位论文的规定,同意学校保留并向国家 有关部门或机构送交论文的复印件和电子版,允许论文被查阅和借阅。本人授权上海交通大 学可以将本学位论文的全部或部分内容编入有关数据库进行检索,可以采用影印、缩印或扫 描等复制手段保存和汇编本学位论文。 保密□,在年解密后适用本授权书。 本