焦炭期货与现货市场关系研究

发布时间：2018-02-19 19:44

本文关键词： 焦炭期货焦炭现货 MBk协整检验动态均衡关系波动溢出效应　出处：《哈尔滨工业大学》2014年硕士论文　论文类型：学位论文

【摘要】：我国焦炭期货上市已经三年有余,其成交量早已超过百万手,成为国内商品期货交易量较大的品种之一。从其交易量、市场流动性及持仓客户类型来看,焦炭期货市场已日趋成熟。但是焦炭期货发展状况是否如预期一样,发挥了其价格发现、套期保值及风险管理等功能,目前尚无结论。焦炭期货与现货之间的价格引导关系到底如何?焦炭期货的推出是缓解还是加剧了现货市场的价格波动?焦炭期货能否为市场参与者提供套期保值和避险的机会?这些问题是当前商品期货市场宏观政策制定者及市场参与者关注的主要问题。本文以焦炭期货市场和现货市场为研究对象,构建连续的价格时间序列,在统一的计量统计框架下,对期货与现货市场之间的关系进行了分析检验。首先运用MBk协整检验对期货市场的有效性进行了分析,接着构建VECM模型,并结合脉冲响应分析、方差分解等方法实现对焦炭期货与现货之间的动态均衡分析;最后采用BEKK-GARCH模型对我国焦炭期货与现货市场的波动溢出关系进行了检验。研究结果显示焦炭期货与现货之间具备良好的长期均衡关系;期货对于现货也有了较明显的价格引导作用;但在信息汇聚流通的过程中,现货市场比期货市场拥有更强的信息吸收能力,由期货市场向现货市场传递的信息能被现货市场快速吸收;期货市场在现货价格的方差分解中占有37%的比重,说明焦炭期货市场价格的波动将显著加剧焦炭现货市场的价格波动;对焦炭市场收益率序列的波动溢出效应分析结果表明,我国焦炭期货和现货市场间存在显著的双向波动溢出效应,然而双向溢出呈现非平衡状态,与其它成熟期货市场的不同在于焦炭现货市场对期货的波动溢出效应明显大于期货对现货的波动溢出效应,进一步表明了期货市场交易机制的不完善。最后,在上述实证结果的基础上,本文给出了相关市场建议。
[Abstract]:China's coke futures have been listed for more than three years, and their trading volume has already exceeded one million hands, which has become one of the major commodity futures trading volumes in China. Judging from the volume of trading volume, market liquidity and the types of customers holding positions, The coke futures market has become more and more mature. But is the development of coke futures as expected, giving play to its functions of price discovery, hedging and risk management? At present, there is no conclusion. How about the relationship between coke futures and spot price guidance? Is the introduction of coke futures mitigated or exacerbated the spot market price fluctuations? Can coke futures provide hedging and hedging opportunities for market participants? These problems are the main problems concerned by the current macro policy makers and market participants in the commodity futures market. In this paper, the coke futures market and the spot market are taken as the research objects, and a continuous price time series is constructed. In the framework of unified econometric statistics, the relationship between futures and spot market is analyzed and tested. Firstly, the validity of futures market is analyzed by MBk cointegration test, then the VECM model is constructed, and the impulse response analysis is combined. The dynamic equilibrium analysis between coke futures and spot is realized by variance decomposition. Finally, the BEKK-GARCH model is used to test the volatility spillover relationship between coke futures and spot market in China. The results show that there is a good long-term equilibrium relationship between coke futures and spot. Futures also have a more obvious price guidance role for spot; but in the process of information gathering and circulation, the spot market has a stronger ability to absorb information than the futures market. The information transmitted from the futures market to the spot market can be quickly absorbed by the spot market, which accounts for 37% of the variance decomposition of spot prices. The results show that the price fluctuation of coke futures market will significantly aggravate the price fluctuation of coke spot market, and the result of volatility spillover effect analysis of yield sequence of coke market shows that, There is a significant two-way volatility spillover effect between the coke futures and spot market in China, however, the two-way spillover shows a non-equilibrium state. Different from other mature futures markets, the volatility spillover effect of coke spot market on futures is obviously greater than that of futures on spot, which further indicates that the trading mechanism of futures market is not perfect. Based on the above empirical results, this paper gives the relevant market suggestions.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F764;F724.5

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