C3和C5航线远期运费波动溢出效应实证研究

C3和C5分别是我国从巴西和澳大利亚进口铁矿石的运输航线,目前未见国内外学者对其进行远期和即期市场间价格波动溢出效应的研究。实证结果显示：两条航线的远期市场对即期实体市场均存在显著的波动溢出效应,但在强度上小于即期对远期的溢出;C5航线的溢出强度稍大于C3航线,说明C5航线的信息传播机制更成熟;当天残差的溢出强度均比前一天残差的强度大,说明当天远期市场更深刻影响当天的即期市场。

Volatility Spillover Effects of Forward Freight Market on Line C3 & C5

C3 and C5 are two marine transport lines of China's importing iron ore from Brazil and Australia respectively,on which so far no study has been made of volatility spillover effects between forward and spot freight both at home and abroad.Our empirical findings are:(1) forward market of both lines have remarkable volatility spillover effect on entity spot market,but it is weaker than spot market to forward market;(2) C5's spillover effect is slightly stronger than C3's,which implies that information transmis...