The Empirical Study about the Price Risk of the International Shipping Market in Chinese Mainland

Xiang-cheng ZHU, Shu-di CHU

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.

Keywords


Chinese mainland, International shipping, Risk of price, T-ARCH Model.


DOI
10.12783/dtssehs/aems2017/8320

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