管理评论

›› 2018, Vol. 30 ›› Issue (11): 247-256.

• 物流与供应链管理 • 上一篇    下一篇

航运市场金融动态避险研究

鲁渤1,2, 邢戬3, 宋东平4   

  1. 1. 大连大学国际学院, 大连 116622;
    2. 大连大学智慧航运与物流网络技术国家地方联合工程实验室, 大连 116622;
    3. 大连大学经济管理学院, 大连 116622;
    4. 英国利物浦大学管理学院, 利物浦 L697ZH
  • 收稿日期:2017-09-15 出版日期:2018-11-28 发布日期:2018-11-22
  • 通讯作者: 邢戬,大连大学经济管理学院讲师,博士
  • 作者简介:鲁渤,大连大学国际学院副教授,硕士生导师,博士;宋东平,英国利物浦大学管理学院教授,博士生导师,博士。
  • 基金资助:

    国家自然科学基金项目（71573028；71703011；71811530337；71781330123）；辽宁省高等学校创新人才项目（WR2017002）；辽宁自然科学基金面上项目（201601006）；辽宁省教育厅人文社科项目（W2015042）；大连市科技之星资助项目（2016RQ074）。

Financial Dynamic Hedging in Shipping Market

Lu Bo1,2, Xing Jian3, Song Dongping4   

  1. 1. International College of Dalian University, Dalian 116622;
    2. Smart Shipping and Logistics Network Technology National Local Joint Engineering Laboratory, Dalian 116622;
    3. College of Economics and Management of Dalian University, Dalian 116622;
    4. Management School, University of Liverpool, Liverpool L697 ZH
  • Received:2017-09-15 Online:2018-11-28 Published:2018-11-22

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摘要：

航运金融衍生品的出现使得航运期现货价格具有马尔科夫性质，导致现有理论或模型无法准确预测航运期现货价格波动特征。相比于既有研究，本文所用方法考虑了航运期现货收益率波动特征难以预测问题，并且克服了现有动态套期保值模型普遍无法解决的现货收益率波动不连续导致的期现货收益波动错位问题，以及用历史数据估计收益率波动特征失真问题。即本文通过估计因素模型计算时变贝塔系数进而得出动态套期保值率的方法本质上是一种理性预期，更适合于航运市场避险方面。本文计算了澳大利亚至中国航线海岬型船的离散时变套保率，并且与其他4种常用套期保值模型计算结果进行比较，发现相较于其他方法，本文模型可以用最低成本锁定同等水平风险。这种低成本不仅体现在可用尽可能少的期货头寸对冲现货波动风险，而且离散时变套保率避免了连续模型频繁改变组合中期货头寸而增加手续费和保证金成本问题。

关键词: FFA, 航运市场, 收益率波动, 时变套期保值

Abstract:

The emergence of shipping financial derivatives brings a Markov character to the spot and futures prices of shipping and this makes it difficult for the existing theories or models to accurately predict the fluctuations characteristics of spot and futures prices of shipping. Compared with existing studies, the method used in this paper takes into account the unpredictability of the fluctuation characteristics of spot and futures yields of shipping. And our method overcomes the problem of misalignment of spot and futures prices yields fluctuations caused by the discontinuity of spot yields volatility and the distortion by using historical data to estimate the volatility of yields, which are generally unsolvable by the existing dynamic hedging model. That is to say, the method of calculating the time-varying beta coefficient by estimating the factor model to obtain the dynamic hedging rate is essentially a kind of rational expectation, and it is more applicable to the hedging of the shipping market. We calculate the discrete time varying hedging rate of the Capesize vessel from Australia to China, and compare it with the results of other four commonly used hedging models. We find that compared to other methods, this model can lock in the same level of risk with the lowest cost. This low cost hedges the risk of spot fluctuations with the least futures position, and also our discrete time-varying hedging ratios avoid the problem of increasing transaction fees and margin costs by frequently changing futures positions in the portfolio in continuous model.

Key words: FFA, shipping market, yield volatility, time-varying hedging