我國煤—焦—鋼期貨市場價(jià)格發(fā)現(xiàn)功能的實(shí)證研究
發(fā)布時(shí)間：2019-05-13 12:43
【摘要】：我國是煤炭和鋼鐵生產(chǎn)大國,產(chǎn)量居全球第一。隨著經(jīng)濟(jì)發(fā)展進(jìn)入新常態(tài),煤炭和鋼鐵行業(yè)面臨著嚴(yán)重的產(chǎn)能過剩問題。近年來,中央加快推進(jìn)供給側(cè)結(jié)構(gòu)性改革,這為行業(yè)的發(fā)展注入了活力,也使得行業(yè)處于巨大的價(jià)格波動風(fēng)險(xiǎn)中。2016年,煤炭價(jià)格增幅達(dá)200%以上,鋼材價(jià)格增幅達(dá)70%以上,頻繁大幅的價(jià)格波動嚴(yán)重影響了企業(yè)的生產(chǎn)經(jīng)營計(jì)劃。2013年,大連商品交易所推出焦煤期貨后,與之前推出的焦炭期貨、螺紋鋼期貨構(gòu)成了一個(gè)完整的產(chǎn)業(yè)鏈期貨市場,這為煤炭和鋼鐵企業(yè)釋放經(jīng)營風(fēng)險(xiǎn)提供了重要渠道。價(jià)格發(fā)現(xiàn)功能是期貨市場的核心功能,焦煤、焦炭、螺紋鋼期貨市場是否具有其功能值得去研究。正是基于上述考慮之后,本文選擇以焦煤、焦炭、螺紋鋼期貨作為研究對象,總結(jié)了國內(nèi)外期貨市場價(jià)格發(fā)現(xiàn)功能的研究方法,針對本研究主題的特點(diǎn)展開研究。首先從理論層面分析期貨市場價(jià)格發(fā)現(xiàn)功能,然后分析我國煤-焦-鋼市場發(fā)展現(xiàn)狀,接著運(yùn)用相關(guān)性分析、Johansen協(xié)整檢驗(yàn)、Granger因果關(guān)系檢驗(yàn)、向量誤差修正模型(VECM)、脈沖響應(yīng)函數(shù)和方差分解等計(jì)量方法從期現(xiàn)貨價(jià)格相關(guān)性、長期關(guān)系、短期變動關(guān)系、相互影響的動態(tài)路徑和具體大小程度五個(gè)方面分析我國焦煤、焦炭、螺紋鋼期貨市場價(jià)格發(fā)現(xiàn)功能,最后進(jìn)行總結(jié)和分析,并提出政策建議。在實(shí)證分析過程中,根據(jù)期貨品種上市時(shí)間不同,選取不同的數(shù)據(jù)區(qū)間。焦煤的價(jià)格序列數(shù)據(jù)區(qū)間為2013年8月1日到2016年8月31日,一共750個(gè)樣本;焦炭的價(jià)格序列數(shù)據(jù)區(qū)間為2011年10月10日到2016年8月31日,一共1162個(gè)樣本;螺紋鋼的價(jià)格序列數(shù)據(jù)區(qū)間為2009年8月3日到2016年8月31日,一共1722個(gè)樣本。實(shí)證結(jié)果表明:我國焦煤、焦炭、螺紋鋼期現(xiàn)貨價(jià)格之間存在長期均衡關(guān)系,短期失衡向長期均衡的調(diào)整過程主要通過現(xiàn)貨價(jià)格的調(diào)整來實(shí)現(xiàn)·;焦煤期貨價(jià)格單向引導(dǎo)焦煤現(xiàn)貨價(jià)格;焦炭期貨價(jià)格單向引導(dǎo)焦炭現(xiàn)貨價(jià)格;螺紋鋼期現(xiàn)貨價(jià)格之間存在雙向引導(dǎo)關(guān)系,但期貨價(jià)格起主導(dǎo)作用。脈沖響應(yīng)和方差分解表明,期貨市場在價(jià)格發(fā)現(xiàn)過程中起主導(dǎo)作用,從期貨價(jià)格對現(xiàn)貨價(jià)格的影響角度來看,焦炭最強(qiáng),其次是焦煤,螺紋鋼最弱,現(xiàn)貨價(jià)格對期貨價(jià)格的影響都很弱。最后,對實(shí)證結(jié)果進(jìn)行總結(jié),并針對我國煤-焦-鋼期貨市場發(fā)展提出三條建議:一是繼續(xù)推進(jìn)煤炭和鋼鐵行業(yè)供給側(cè)結(jié)構(gòu)性改革,完善現(xiàn)貨市場建設(shè);二是完善期貨合約,提高套期保值者積極性,改善投資者結(jié)構(gòu);三是普及期貨知識,加強(qiáng)投資者教育,改善監(jiān)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.
【學(xué)位授予單位】：浙江工商大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F724.5
本文編號：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.
【學(xué)位授予單位】：浙江工商大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F724.5
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