【摘要】：期貨市場(chǎng)作為我國(guó)經(jīng)濟(jì)體系的重要組成部分,它在為投資者建立通暢合理的投融資通道同時(shí),還為我國(guó)經(jīng)濟(jì)平穩(wěn)發(fā)展起到穩(wěn)定支撐作用。在世界范圍內(nèi)普遍認(rèn)為期貨市場(chǎng)具有兩大基本功能,它們就是對(duì)于現(xiàn)貨市場(chǎng)的價(jià)格發(fā)現(xiàn)功能以及對(duì)經(jīng)營(yíng)企業(yè)的風(fēng)險(xiǎn)規(guī)避功能。動(dòng)力煤作為國(guó)家的重要戰(zhàn)略物資,其相關(guān)產(chǎn)業(yè)的平穩(wěn)運(yùn)行同樣關(guān)系到國(guó)家的經(jīng)濟(jì)安全。伴隨著我國(guó)國(guó)民經(jīng)濟(jì)逐漸崛起,國(guó)內(nèi)對(duì)于動(dòng)力煤的需求也日益遞增,造成我國(guó)每年都需要進(jìn)口大量動(dòng)力煤。但是與國(guó)內(nèi)巨大的市場(chǎng)相比,我國(guó)在動(dòng)力煤的定價(jià)權(quán)上只有很小的權(quán)重。動(dòng)力煤期貨作為我國(guó)首個(gè)大宗資源類商品期貨,它的上市邁出了我國(guó)探索大宗能源類商品期貨的第一步,對(duì)于搶占能源期貨的制高點(diǎn),提升在國(guó)際市場(chǎng)的定價(jià)能力十分有幫助。但是,動(dòng)力煤期貨的市場(chǎng)功能到底發(fā)揮如何,能否實(shí)現(xiàn)價(jià)格發(fā)現(xiàn)功能。在現(xiàn)貨市場(chǎng)價(jià)格頻繁波動(dòng)的情況下能否幫助企業(yè)及時(shí)鎖定利潤(rùn)并規(guī)避風(fēng)險(xiǎn)是很多研究者關(guān)注的問(wèn)題。 本文首先對(duì)期貨市場(chǎng)的的價(jià)格發(fā)現(xiàn)功能做出理論研究,考察了期貨市場(chǎng)的起源、發(fā)展、功能及作用,從理論上分析了現(xiàn)貨價(jià)格與期貨價(jià)格之間的關(guān)系,以及期貨市場(chǎng)價(jià)格發(fā)現(xiàn)功能的形成機(jī)理。隨后進(jìn)一步分析了影響我國(guó)動(dòng)力煤價(jià)格的因素。最后選擇了動(dòng)力煤期貨上市以來(lái)至2014年3月20日的動(dòng)力煤期貨與秦皇島5500動(dòng)力煤現(xiàn)貨市場(chǎng)的日收盤價(jià)格數(shù)據(jù)進(jìn)行分析。在分析中首先對(duì)兩組數(shù)據(jù)進(jìn)行了相關(guān)性分析,在發(fā)現(xiàn)兩組數(shù)據(jù)具有高相關(guān)系數(shù)后,進(jìn)行了單位根檢驗(yàn)。在保證數(shù)據(jù)平穩(wěn)性的前提下本文利用基于Var模型的Johansen協(xié)整檢驗(yàn)與Granger因果檢驗(yàn)來(lái)進(jìn)一步判斷動(dòng)力煤現(xiàn)貨與期貨之間的作用關(guān)系,最后根據(jù)方差分解量化了二者對(duì)于對(duì)方的貢獻(xiàn)程度。 根據(jù)研究結(jié)果顯示,我國(guó)動(dòng)力煤期貨市場(chǎng)具有一定的價(jià)格發(fā)現(xiàn)功能,對(duì)現(xiàn)貨市場(chǎng)存在一定的指導(dǎo)性�；诒窘Y(jié)果,本文嘗試為動(dòng)力煤相關(guān)企業(yè)如何利用套期保值來(lái)規(guī)避經(jīng)營(yíng)風(fēng)險(xiǎn)做出了指導(dǎo)。
[Abstract]:As an important part of China's economic system, futures market not only establishes a smooth and reasonable investment and financing channel for investors, but also plays a stable supporting role for the smooth development of our economy. The futures market is generally considered to have two basic functions in the world, which are the price discovery function for spot market and the risk aversion function for operating enterprises. Thermal coal is an important strategic material in our country, and the smooth operation of its related industries is also related to the national economic security. With the gradual rise of our national economy, the domestic demand for thermal coal is also increasing day by day, resulting in China needs to import a large number of thermal coal every year. However, compared with the huge domestic market, China has only a very small weight on the pricing power of thermal coal. As the first commodity futures of resources in China, the listing of thermal coal futures takes the first step to explore the commodity futures of bulk energy, which is very helpful to seize the commanding heights of energy futures and enhance the pricing ability in the international market. However, power coal futures market function in the end how to play, whether to achieve price discovery function. In the case of frequent price fluctuations in the spot market, whether or not to help enterprises to lock in profits and avoid risks in time is the problem that many researchers pay attention to. This paper first makes a theoretical study on the price discovery function of the futures market, investigates the origin, development, function and function of the futures market, and analyzes the relationship between the spot price and the futures price theoretically. And the formation mechanism of futures market price discovery function. Then the factors influencing the price of thermal coal in China are further analyzed. Finally, the data of the daily closing price of thermal coal futures and Qinhuangdao 5500 thermal coal spot market from the listing of thermal coal futures to March 20, 2014 are analyzed. In the analysis, the correlation analysis of two groups of data is carried out, and the unit root test is carried out after finding that the two groups of data have high correlation coefficient. In order to ensure the stability of the data, this paper uses Johansen cointegration test and Granger causality test based on Var model to further judge the relationship between spot and futures of thermal coal. Finally, the contribution of the two to each other is quantified according to variance decomposition. According to the research results, China's thermal coal futures market has a certain price discovery function, and has certain guidance to the spot market. Based on the results, this paper attempts to provide guidance on how to use hedging to avoid business risk.
【學(xué)位授予單位】：鄭州大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F724.5;F224

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本文編號(hào)：2268720