我国煤—焦—钢期货市场价格发现功能的实证研究
发布时间：2019-05-13 12:43
【摘要】：我国是煤炭和钢铁生产大国,产量居全球第一。随着经济发展进入新常态,煤炭和钢铁行业面临着严重的产能过剩问题。近年来,中央加快推进供给侧结构性改革,这为行业的发展注入了活力,也使得行业处于巨大的价格波动风险中。2016年,煤炭价格增幅达200%以上,钢材价格增幅达70%以上,频繁大幅的价格波动严重影响了企业的生产经营计划。2013年,大连商品交易所推出焦煤期货后,与之前推出的焦炭期货、螺纹钢期货构成了一个完整的产业链期货市场,这为煤炭和钢铁企业释放经营风险提供了重要渠道。价格发现功能是期货市场的核心功能,焦煤、焦炭、螺纹钢期货市场是否具有其功能值得去研究。正是基于上述考虑之后,本文选择以焦煤、焦炭、螺纹钢期货作为研究对象,总结了国内外期货市场价格发现功能的研究方法,针对本研究主题的特点展开研究。首先从理论层面分析期货市场价格发现功能,然后分析我国煤-焦-钢市场发展现状,接着运用相关性分析、Johansen协整检验、Granger因果关系检验、向量误差修正模型(VECM)、脉冲响应函数和方差分解等计量方法从期现货价格相关性、长期关系、短期变动关系、相互影响的动态路径和具体大小程度五个方面分析我国焦煤、焦炭、螺纹钢期货市场价格发现功能,最后进行总结和分析,并提出政策建议。在实证分析过程中,根据期货品种上市时间不同,选取不同的数据区间。焦煤的价格序列数据区间为2013年8月1日到2016年8月31日,一共750个样本;焦炭的价格序列数据区间为2011年10月10日到2016年8月31日,一共1162个样本;螺纹钢的价格序列数据区间为2009年8月3日到2016年8月31日,一共1722个样本。实证结果表明:我国焦煤、焦炭、螺纹钢期现货价格之间存在长期均衡关系,短期失衡向长期均衡的调整过程主要通过现货价格的调整来实现·;焦煤期货价格单向引导焦煤现货价格;焦炭期货价格单向引导焦炭现货价格;螺纹钢期现货价格之间存在双向引导关系,但期货价格起主导作用。脉冲响应和方差分解表明,期货市场在价格发现过程中起主导作用,从期货价格对现货价格的影响角度来看,焦炭最强,其次是焦煤,螺纹钢最弱,现货价格对期货价格的影响都很弱。最后,对实证结果进行总结,并针对我国煤-焦-钢期货市场发展提出三条建议:一是继续推进煤炭和钢铁行业供给侧结构性改革,完善现货市场建设;二是完善期货合约,提高套期保值者积极性,改善投资者结构;三是普及期货知识,加强投资者教育,改善监管制度。
[Abstract]:China is a big country of coal and steel production, and its output ranks first in the world. With the economic development entering the new normal, the coal and steel industries are facing serious overcapacity problems. In recent years, the central government has accelerated supply-side structural reform, which has injected vitality into the development of the industry and put the industry at great risk of price fluctuations. In 2016, coal prices increased by more than 200 percent, and steel prices by more than 70 percent. Frequent and large price fluctuations have seriously affected the production and management plans of enterprises. In 2013, after the introduction of coke futures by Dalian Commodity Exchange, threaded steel futures formed a complete industrial chain futures market with the coke futures launched before. This provides an important channel for coal and steel enterprises to release operating risks. Price discovery function is the core function of futures market. Whether coke, coke and threaded steel futures market has its function is worth studying. Based on the above considerations, this paper selects coke, coke and threaded steel futures as the research object, summarizes the research methods of price discovery function in futures market at home and abroad, and studies the characteristics of this research topic. This paper first analyzes the price discovery function of futures market from the theoretical level, then analyzes the development status of coal-coke-steel market in China, and then uses correlation analysis, Johansen cointegration test, Granger causality test and vector error correction model (VECM),. Impulse response function and variance decomposition are used to analyze coke and coke in China from five aspects: spot price correlation, long-term relationship, short-term variation relationship, dynamic path and specific degree of interaction. The price discovery function of threaded steel futures market is summarized and analyzed, and the policy suggestions are put forward. In the process of empirical analysis, according to the different listing time of futures varieties, different data ranges are selected. The price series data range of coke is from August 1, 2013 to August 31, 2016, with a total of 750 samples, and the price series of coke is from October 10, 2011 to August 31, 2016, with a total of 1162 samples. The price series of rebar ranges from August 3, 2009 to August 31, 2016, with a total of 1722 samples. The empirical results show that there is a long-term equilibrium relationship between the spot prices of coke, coke and threaded steel in China, and the adjustment process from short-term imbalance to long-term equilibrium is mainly realized by the adjustment of spot prices. The coke futures price guides the coke spot price in one way; the coke futures price guides the coke spot price in one way; there is a two-way guiding relationship between the spot price in the threaded steel period, but the futures price plays a leading role. Impulse response and variance decomposition show that the futures market plays a leading role in the process of price discovery. From the point of view of the influence of futures price on spot price, coke is the strongest, coke is the second, and rebar is the weakest. Spot prices have a weak impact on futures prices. Finally, the empirical results are summarized, and three suggestions are put forward for the development of coal-coke-steel futures market in China: first, to continue to promote the supply-side structural reform of coal and steel industry and improve the construction of spot market; The second is to improve futures contracts, improve the enthusiasm of hedges and improve the structure of investors; third, popularize futures knowledge, strengthen investor education and improve the regulatory system.
【学位授予单位】：浙江工商大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F724.5
本文编号：2475892
[Abstract]:China is a big country of coal and steel production, and its output ranks first in the world. With the economic development entering the new normal, the coal and steel industries are facing serious overcapacity problems. In recent years, the central government has accelerated supply-side structural reform, which has injected vitality into the development of the industry and put the industry at great risk of price fluctuations. In 2016, coal prices increased by more than 200 percent, and steel prices by more than 70 percent. Frequent and large price fluctuations have seriously affected the production and management plans of enterprises. In 2013, after the introduction of coke futures by Dalian Commodity Exchange, threaded steel futures formed a complete industrial chain futures market with the coke futures launched before. This provides an important channel for coal and steel enterprises to release operating risks. Price discovery function is the core function of futures market. Whether coke, coke and threaded steel futures market has its function is worth studying. Based on the above considerations, this paper selects coke, coke and threaded steel futures as the research object, summarizes the research methods of price discovery function in futures market at home and abroad, and studies the characteristics of this research topic. This paper first analyzes the price discovery function of futures market from the theoretical level, then analyzes the development status of coal-coke-steel market in China, and then uses correlation analysis, Johansen cointegration test, Granger causality test and vector error correction model (VECM),. Impulse response function and variance decomposition are used to analyze coke and coke in China from five aspects: spot price correlation, long-term relationship, short-term variation relationship, dynamic path and specific degree of interaction. The price discovery function of threaded steel futures market is summarized and analyzed, and the policy suggestions are put forward. In the process of empirical analysis, according to the different listing time of futures varieties, different data ranges are selected. The price series data range of coke is from August 1, 2013 to August 31, 2016, with a total of 750 samples, and the price series of coke is from October 10, 2011 to August 31, 2016, with a total of 1162 samples. The price series of rebar ranges from August 3, 2009 to August 31, 2016, with a total of 1722 samples. The empirical results show that there is a long-term equilibrium relationship between the spot prices of coke, coke and threaded steel in China, and the adjustment process from short-term imbalance to long-term equilibrium is mainly realized by the adjustment of spot prices. The coke futures price guides the coke spot price in one way; the coke futures price guides the coke spot price in one way; there is a two-way guiding relationship between the spot price in the threaded steel period, but the futures price plays a leading role. Impulse response and variance decomposition show that the futures market plays a leading role in the process of price discovery. From the point of view of the influence of futures price on spot price, coke is the strongest, coke is the second, and rebar is the weakest. Spot prices have a weak impact on futures prices. Finally, the empirical results are summarized, and three suggestions are put forward for the development of coal-coke-steel futures market in China: first, to continue to promote the supply-side structural reform of coal and steel industry and improve the construction of spot market; The second is to improve futures contracts, improve the enthusiasm of hedges and improve the structure of investors; third, popularize futures knowledge, strengthen investor education and improve the regulatory system.
【学位授予单位】：浙江工商大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F724.5
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