焦炭期货市场效率实证研究

发布时间：2018-01-02 04:15

本文关键词：焦炭期货市场效率实证研究　出处：《东北财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：本文的研究,建立在我国期货市场迎来新一轮高速发展的大背景之下。随着期货市场品种的不断增加,期货市场的发展逐渐体现出以下两个方面：一是服务实体经济的功能在增强,越来越多的期货品种为实体经济提供了有效的投资工具；二是期货品种逐渐能够覆盖密切相关的实体经济领域,例如金属期货涵盖范围在增加、油脂类期货涵盖品种增加。本文要研究的焦炭期货,则很好体现了以上两个方面：一是其推出能够为存在产能过剩问题且价格波动剧烈的焦炭实体经济提供一种新的投资手段,二是随着焦炭期货的推出,结合之前推出的钢材期货与之后推出的焦煤期货,从而对于煤钢产业链条的各个环节形成了对应的期货品种,也即是在期货市场,也构建了期货品种的产业链条。而构建完整产业链条每一环节所对应的期货品种链条,在全球范围内,我国属于首创。正是由于焦炭行业处于钢铁工业与焦煤实业的中间环节,使得焦炭期货在这一产业链条对应的期货品种中,也处于十分重要的地位。本文希望通过对焦炭期货进行的市场效率方面的研究,对于焦炭期货的投资提出建设性意见、对于监管部门进一步规范完善期货市场提供借鉴、对于宏观经济调控采用市场手段提供引导。此外,通过焦炭期货与相关品种的关系体现出的市场效率,来为我国构建的独有的产业链条期货品种的发展提供建议。基于以上分析,本文选取焦炭期货作为研究对象,并将焦炭期货的市场效率进行深度剖析。对于焦炭期货的市场效率,本文从理论与实证两个大的方向展开。在理论分析方面,主要对于影响焦炭期货市场效率的因素进行研究。一是从焦炭期货合约出发,针对焦炭期货合约所特有的特征,结合与其他期货品种的不同点,来分析他们对于焦炭期货市场效率的影响；二是从市场制度设计方面,结合诸如交易细则等规定,分析这些因素对于其市场效率的影响。在实证分析方面,一方面本文立志于验证焦炭期货作为一个独立的期货品种所具备的市场效率,基本出发点是验证其是否能够有效发挥期货风险规避与价格发现的基本功能,因此,这一部分实证分析又是从两个维度出发。通过采用GARCH一族模型对于焦炭期货价格序列,建立回归方程与绘制信息冲击曲线,来说明焦炭期货风险规避功能的有效发挥；通过对焦炭期货价格序列与焦炭现货价格序列采用单位根检验、协整分析构建误差修正模型,来说明其价格发现功能的有效发挥。通过以上两个维度的检验,从基本功能的发挥来对焦炭期货的高市场效率进行分析。实证分析的另一方面,则是要将焦炭期货纳入对应的煤钢产业链条,检验其作为中间环节,与上下游环节的螺纹钢期货与焦煤期货之间的联动关系,从另一个维度验证其市场效率。在这部分中,本文通过对于三种期货品种价格波动基本特征与线性关系的描述,对于三种期货品种价格波动的联动性进行格兰杰因果检验,发现三者虽然在对应实体经济领域处于上下游关系,但是在期货市场中,并没有很好的联动效应,并对此进行了一些可能的原因分析。同时采用广义脉冲响应函数的方法,通过函数图象进一步验证以上分析与原因。本文基于以上进行的理论与实证分析,对于焦炭期货的市场效率得到了初步验证。作为一个独立的期货品种,焦炭期货能够有效发挥风险规避与价格发现的期货基本功能,从这一角度来说,其具备较高的市场效率。而将其纳入煤钢产业链条的视角,进行的与螺纹钢期货和焦煤期货的联动性分析,则发现他们之间的联动性较差,一定程度上,对于焦炭期货的市场效率有所削弱。最后,针对焦炭期货具备的高市场效率以及与焦煤和螺纹钢期货的联动性·分析,本文提出了关于焦炭期货投资方面的一些建议。同时,提出了监管当局今后推进市场发展的一些政策建议,并对于焦炭期货对于实体经济宏观调控的可行性进行了论述。
[Abstract]:This study, based on China's futures market ushered in a new round of rapid development background. With the increase of the futures market, futures market development gradually reflect the following two aspects: one is the service of the real economy function is increasing, more and more varieties of goods period provides an effective tool for investment the real economy; two futures gradually to cover the real economy closely related, such as metal futures coverage increase in oil futures covers varieties increased. Coke futures will be discussed in this paper. It well reflects the above two aspects: one is the introduction to overcapacity and price volatility. The real economy provides a new means of investment is two, with the launch of coke futures, combined with prior to the launch of the steel futures after the launch of the coking coal futures, and for Each link of coal and steel industry chain to form the corresponding futures, which is constructed in the futures market, futures industry chain. And build a complete industrial chain corresponding to every aspect of the futures chain, in the global scope, our country belongs to the first.
It is because of the coke industry in middle part of the iron and steel industry and coal industry, the coke futures in the industrial chain of the corresponding futures, also in a very important position. This paper hopes to study the market efficiency of coke futures, put forward constructive suggestions for coke futures investment for regulators further standardize and perfect the futures market to provide reference for the macroeconomic regulation and control by market means to provide guidance. In addition, reflected by the relationship between the coke futures and related varieties of the market efficiency, the development for the construction of China's unique industry chain futures offer advice.
Based on the above analysis, this paper chooses coke futures as the research object, and further analyzes the market efficiency of coke futures. For coke futures market efficiency, this paper launches from two directions: Theory and practice.
In the theoretical analysis, mainly studies the impact factors for coke futures market efficiency. One is starting from the coke futures contract, according to the unique characteristics of coke futures contracts, with different points and other futures varieties, to analyze their influence on coke futures market efficiency; the two is from the design of the market system, combined with the such as trading rules and other regulations, analysis of these factors for the efficiency of the market.
In the empirical analysis, this paper aims to verify a coke futures as an independent futures has the market efficiency, the basic starting point is to verify whether it can effectively exert the basic function, the futures price discovery and risk aversion therefore, this part of the empirical analysis is based on two dimensions through the use of GARCH. A model for coke futures price series, the regression equation and draw the information impact curve, to illustrate the effective function to avoid the risk of coke futures; the coke futures price and the spot price of coke sequence sequence using unit root test, cointegration analysis and error correction model construction, to illustrate the effective function of the price discovery by inspection. The above two dimensions, from its basic functions to coke futures high market efficiency analysis. On the other hand, the empirical analysis. Is to coke futures into the coal and steel industry chain, the inspection as the intermediate links, the linkage relationship between the rebar futures and Futures and coking coal downstream link, to verify the efficiency of the market from another dimension. In this part, through the three kinds of futures price fluctuations of the basic characteristics and linear relationship the description of the Grainger causality test for three kinds of linkage between futures price volatility, although the three found in the corresponding areas of the real economy in the relationship between upstream and downstream, but in the futures market, and there is no linkage effect very good, and then analyzes some possible reasons. At the same time using the generalized impulse response function the method, through the function of image analysis and further verify the above reasons.
In this paper, the above theoretical and empirical analysis based on the coke futures market efficiency has been preliminarily verified. As an independent futures, coke futures can effectively play the basic function of the futures price discovery and risk aversion, from this perspective, it has high market efficiency and will be incorporated into the coal and steel industry. The chain from the perspective of linkage analysis and rebar futures and futures of coking coal, found that the poor linkage between them, to a certain extent, the coke futures market efficiency has been weakened.
Finally, according to the linkage of coke futures have high market efficiency and coking coal and rebar futures and analysis, this paper puts forward some suggestions on coke futures investment. At the same time, it puts forward some policy suggestions of regulatory authorities in the future to promote the development of the market, and the feasibility of coke futures macro-control in the real economy are discussed.

【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F724.5

【参考文献】