Relation On Correlation And Volatility Between Bunker Forward And Spot Freight Market

The integration of the world economy, the development of international trade, promote the development of shipping industry. The international shipping market vulnerable to political, economic, supply and demand, natural conditions and other factors, so that the freight prices fluctuate, which brings great difficulties to the shipping transportation and related business decision. In2008, the outbreak of the global financial crisis, the shipping market suffered shipping freight plummeted impact, brings damage to the shipping industry, market, and even lead to risk response ability of business failures. Forward freight agreement (FFA) is an effective way to avoid freight fluctuation risk has been widely used. However, in recent years, there are some enterprises to participate in the FFA transaction resulted in huge losses and even bankruptcy. Therefore, correctly grasp the shipping market price trend, volatility risk control rate, fluctuation characteristics of shipping freight market and avoid the risk on the dry bulk market participants are very important for.This paper mainly uses the method of econometrics, the international dry bulk FFA market and spot market as the research object, through the unit root of P2A, P3A two routes of FFA index and spot index data test, Johansen cointegration test, VAR model and Granger causality test, analysis of the FFA market and the spot market has certain correlation, FFA market has certain guidance function to the spot market; through the establishment of ARCH model and GARCH index return rate, analyse the influence of the fluctuation of the. Through the relevant laws to grasp the correlation and volatility of bulk FFA market and the spot market, the international dry, help participants to provide certain reference for shipping.