我国航运金融衍生品日历效应研究

The Research on Calendar Effect of Shipping Financial Derivatives in China

日历效应是金融市场中普遍存在的一种异象,一定程度上反映了市场的非有效性。与国际市场相比,我国航运金融衍生品市场起步较晚,相对不成熟。文章采用实证方法对中国沿海煤炭航运衍生品市场的日历效应进行了分析。EGARCH模型的估计结果表明,衍生品市场存在显著的周三负效应和周五正效应。航运衍生品市场存在的周日历效应可能受到交易者决策和运价市场的影响:周五临近休息日,通常此时交易人正向情绪高涨,对市场倾向于乐观估计,进而增加投资行为,促使周五正效应的出现;衍生品与运价市场存在一定的相互影响关系,每个周一蓄积了休息日在内三天的信息冲击,使得运价市场会出现一定的波动,再传导到衍生品市场,可能造成衍生品在周三出现明显变化。衍生品的日历效应也进一步证实了该市场的非有效性。

As a common phenomenon in financial markets,calendar effect reflects the inefficiency of markets in certain extent. Compared with the international market,China’s shipping derivatives market started late with limited mature. In this paper,an empirical analysis of China’s coastal coal shipping derivatives is made to study China’s shipping derivatives market calendar effect. The results of the EGARCH Model show that there is a significant Wednesday-negative effect and a Friday-positive effect on the derivatives market. The weekly calendar effect in shipping derivatives market may be affected by trader decision-making and freight rate markets. As Friday is approaching the weekend,traders at this time are usually positively up,and tend to optimistically estimate the market. The increasing investment behavior promotes the emergence of the positive effect on Friday. There is a certain mutual influence between the derivatives and the freight rate market. The information shocks accumulated from last Saturday to Monday may cause certain fluctuations in the freight rate market. The fluctuations then transmit to the derivatives market causing significant changes on Wednesday. The calendar effect further confirms the inefficiency of the derivatives market.