摘要
由于国际海运需求是国际贸易的派生性需求,其发展受国际经济、政治、技术、自然等因素的影响,所以,国际干散货运输市场波动巨大,风险性较高,同样,作为航运衍生品,FFA具有航运与金融双重属性,受基本面市场的影响,其市场的价格波动也比较大,并且投资者的投资行为对其价格的影响也较大,了解FFA价格的内在波动机理与投资者行为意义重大。因此,本文深入研究干散货FFA价格收益率的波动性特征、波动溢出效应以及行为特征,可以为干散货航运市场经营者与投资者提供理论参考。
本文运用定性分析与定量研究相结合、整体分析与部分研究相结合的方法,基于计量经济学理论与行为金融学理论,结合FFA价格波动变化、交易方式、影响因素等的特征,采用随机波动率模型(Stochastic Volatility, SV)、波动溢出多元随机波动率模型(Volatility Spillover Multivariate Stochastic Volatility, VS-MSV)、持续期检验、CCK模型(Chang, Cheng和Khorana)等,分别研究Panamax型船FFA市场不同持有期、不同阶段的价格收益率的平稳性、持续性、交易活跃度、与即期市场的波动溢出效应、与其他FFA市场的波动溢出效应、市场投机行为、羊群效应等波动性与行为特征。
本文的研究结果表明,短期Panamax型船FFA市场的稳定性高、波动持续性低、市场交易活跃度高；上涨波动阶段的FFA市场的稳定性高、波动持续性低、市场交易活跃度高；Panamax型船FFA市场与即期市场、Capesize型船FFA之间均存在波动溢出效应；Panamax型船FFA市场存在投机行为；相对远期的Panamax型船FFA市场存在羊群效应。根据结果分析可知,通过完善FFA市场机制与功能定位、提高投资者素质、调节FFA交易的流动性等可以进一步完善FFA市场价格的波动机制。
International shipping demand is the derived demand for international trade, and the development is affected by international economy, policy, technology, nature, and so on. So International shipping market fluctuates huge and it is higher risk. Similarly, as the shipping derivatives, FFA possesses double characters, and there are higher volatilities. Meanwhile, investment behavior of market participants could affect the price of FFA. It is important for understanding the volatilities and behaviors in FFA market. This paper investigate the daily return of dry FFA price from volatilities characters, volatilities spillover, and behavior characters, which could provide theoretical value for shipping operators.
The methods are used by qualitative analysis and quantitative study, global analysis and part study. The theories are econometrics and behavioral finance. The models are Stochastic Volatility, Volatility Spillover Multivariate Stochastic Volatility, Duration Analysis (Hazard Rate Analysis), and CCK(Chang, Cheng and Khorana). The paper investigates the stationary, persistent, transactions active degrees, volatility spillover, speculations, herd effect and so on, on Panamax FFA return in different holding period, different stage, respectively, considering the changes of FFA price, means of exchange, influencing factors.
The results show that, shorter term and rising volatility stages of FFA markets have higher stationary, lower persistent, higher transactions active degrees for Panamax market; there are volatility spillover effect during FFA and spot market, also the FFAs of Panamax and Capesize; there are speculations behaviors in the FFA market and herd effect in longer term FFA market. From the results, it is found that, the FFA fluctuation mechanism could be improved by improving FFA market mechanism, functional orientation, investors'quality, trading liquidity.
引文
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