大陆国际航运场价格风险的实证研究-DPIProceedings.PDFVIP

2017 International Conference on Advanced Education and Management Science (AEMS 2017) ISBN: 978-1-60595-438-7 The Empirical Study about the Price Risk of the International Shipping Market in Chinese Mainland 1 2,* Xiang-cheng ZHU and Shu-di CHU 1Ningbo DHY University, Ningbo Zhejiang China, 315175 2 East China Normal University, Minhang Shanghai China, 200241 *Corresponding author Keywords: Chinese mainland, International shipping, Risk of price, T-ARCH Model. Abstract. The logarithm return rate sequence of spot SCFI from samples of west-America and Europe routes from Shanghai are divided into two prior and afterwards parts according to the time point when SCFI futures were released in Shanghai Shipping Exchange. Equal variance test and T-ARCH model with additional dummy variable are respectively applied on each sequence for the investigations of its significance of differences from variance and volatility. The accordant results from above two test methods indicates that the volatility of commodity market enhanced after the release of SCFI futures. Adaptive countermeasures and suggestions are presented for the promotion to the inefficient SCFI futures market after genetic analysis to the futures market systematically. 大陆国际航运市场价格风险的实证研究 1 2* 朱相诚 ，褚书地 1宁波大红鹰学院，宁波，浙江，中国 2华东师范大学，闵行，上海，中国 *通讯作者 关键词：关键词：中国大陆；国际航运；价格风险；T-ARCH模型 关键词关键词：： 中文摘要中文摘要：： 选择中国大陆的上海航运交易所2010年推出的SUSWC和