- 學位論文
中國出口貨櫃綜合運價指數與上海出口貨櫃綜合運價指數之關聯性研究
An Analysis of the Relationships between China and Shanghai Container Freight Index
摘要
中國出口貨櫃運價指數 (China Container Freight Index, CCFI) 與上海出口貨櫃綜合運價指數 (Shanghai Container Freight Index, SCFI) 皆屬於定期海運業一項重要指數。CCFI指數可以瞭解目前定期海運的運價與相關市場現況；而SCFI指數為了滿足國際貨櫃市場運價指數衍生工具需求所創。 本文藉由CCFI與SCFI指數之回顧來說明目前CCFI指數的組合與SCFI指數在定期海運市場之現況，並藉由時間序列分析來建構CCFI與SCFI指數最佳化模式。CCFI與SCFI指數模式的建立將可以提供相關財務分析使用。依照多變量時間序列模式的建構步驟，本篇文章的最佳模式為VARMA (1 , 1)，此模式代表CCFI指數與SCFI指數會受到前1期資訊的影響並有1期誤差修正因子，研究結果顯示出CCFI比SCFI指數可較擁有較豐富的訊息，因此本文建議採用CCFI指數用於運費判讀與預測之用，此模式的建構希冀可提供相關定期航運研究學者及業者參考使用。
並列摘要
There are two important that indices in the liner shipping industry, one is the China Containerized Freight Index, (CCFI), the other one is the Shanghai Container Freight Index, (SCFI). First, both of the CCFI and SCFI Indices can display climate scenarios and established the commodity derivatives in the liner shipping market. However, this thesis is discussed CCFI and SCFI Indices and reviewing the current status of the liner shipping market in order to comprehend it market trending. Second, due to the modeling will be able to provide relevant financial analyze, this thesis uses the multiple time series analysis to construct optimization mode with CCFI and SCFI Indices. Finally, the thesis takes to the VARMA model to deconstruct the CCFI and SCFI Indices, and the optimal model reached in this thesis is VARMA (1 , 1) which indicates are emerging to a one - stage lagging effect among the CCFI Index, and the existence of a one - error correcting factor. The results showed that the CCFI Index can get better information than the SCFI index. This thesis suggests the CCFI Index can refer to the freight interpretations or the forecasting purposes.