| The shipping industry possess risk which is embodied in fluctuation of the freight,especially in the dry bulk cargo shipping industry. From 2003, the sharp fluctuations pose a challenge to the shipping company. So it's necessary to grasp future market trend.FFA is one of the popular tools of the risk management in market. The studies about price discovery function of FFA are mainly limited in the analysis of actual practice and qualitative analysis as a result that the embedded studies of quantitative analysis are deficient. Besides, for the reason that FFA is widely applied to the Europe, while, in China there are about only ten shipping companies are relevant to this operation, the database is hard to get. So, the quantitative studies of actual practice about FFA are very few. The purpose of the research is analysis the relationship of the spot market and future market to fix that the FFA has the price discovery function.This paper first established three models of econometrics. They are VEC model, Volatility Spillover model and Common factor model. These models are helpful to study the mutual leading relation of the price of FFA market and spot market, the level of mutual influence and the delivered speed of information between the two markets. The calculated result shows the bidirectional consequence of the two markets. The price of FFA is more introductory to spot price. In another word, the price discovery function of FFA plays a leading role in the forming process of spot price.The research results can offer some decision theory evidences for the shipping companies to grasp future market trend. |
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