Research On The Efficiency Of The Shipping Freight Index Futures Market In China

The Shipping Freight Index Futures based on freight index designed by SSEFC in2011, are the first Shipping Derivatives appearing in Chinese market, providing a newmethod of managing risk. In addition, under the background of the Shanghai’sconstruction of International Shipping Center and Free Trade Area, the shipping freightindex futures are becoming more important. Therefore, it is meaningful to analyze thepricing efficiency of the market, providing empirical evidence by using quantitativemethods.By formulate VAR and VECM, it shows that three out of four products have theco-integration relationship between its futures price and spot price, and the futures priceis an unbiased expectation of the spot price, which indicates the price discoveringfunction. Among them, the EU and UW products have the futures leading effect,because there are significant error correction effects on the respective spot price, andthe futures prices are respectively the Granger Cause of the spot prices. Moreover, theQG product’s futures price and spot price lead each other, since there are significanterror correction effects on both the spot and futures price, and spot and futures price arethe Granger Cause of each other. The results from IRF and Variance Decompositionshow the same conclusion. Therefore, the newly born Chinese Shipping Freight Futuresmarket is basically efficient.