集装箱运费衍生品市场信息有效性

Effectiveness of Information About Container Freight Derivatives Market

针对集装箱运费衍生品市场信息有效性反映市场运作效率和衍生品的价格发现功能,根据集装箱运费衍生品欧洲航线主力合约价格样本量小、价格变动不服从正态分布的特点,采用Wild bootstrap方差比检验分析市场信息的有效性。对全部静态样本和移动窗样本的Wild bootstrap方差比检验的结果均表明,集装箱运费衍生品价格不服从随机游走假设,不能认为市场信息有效,价格发现功能没有充分发挥。

Information about container freight derivatives market is supposed to reflect the market efficiency and to have function of price discovery, which indicates the future development of the market price. However, the fact should be taken into consideration that the changes of contract prices of main European route container freight derivatives do not obey normal distribution due to small size of the sample. According to this characteristic, validity of the market information is analyzed by means of Wild bootstrap variance ratio tests. Both analysis based on the whole static sample and on moving window sam- ples indicate that the main contract prices of European routes container freight derivatives are not subject to the random walk hypothesis which implies that the market information cannot be deemed effective in price discovery.