本文關(guān)鍵詞：焦炭期貨市場效率實證研究　出處：《東北財經(jīng)大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 焦炭期貨 市場效率 實證研究

【摘要】：本文的研究,建立在我國期貨市場迎來新一輪高速發(fā)展的大背景之下。隨著期貨市場品種的不斷增加,期貨市場的發(fā)展逐漸體現(xiàn)出以下兩個方面：一是服務(wù)實體經(jīng)濟的功能在增強,越來越多的期貨品種為實體經(jīng)濟提供了有效的投資工具；二是期貨品種逐漸能夠覆蓋密切相關(guān)的實體經(jīng)濟領(lǐng)域,例如金屬期貨涵蓋范圍在增加、油脂類期貨涵蓋品種增加。本文要研究的焦炭期貨,則很好體現(xiàn)了以上兩個方面：一是其推出能夠為存在產(chǎn)能過剩問題且價格波動劇烈的焦炭實體經(jīng)濟提供一種新的投資手段,二是隨著焦炭期貨的推出,結(jié)合之前推出的鋼材期貨與之后推出的焦煤期貨,從而對于煤鋼產(chǎn)業(yè)鏈條的各個環(huán)節(jié)形成了對應(yīng)的期貨品種,也即是在期貨市場,也構(gòu)建了期貨品種的產(chǎn)業(yè)鏈條。而構(gòu)建完整產(chǎn)業(yè)鏈條每一環(huán)節(jié)所對應(yīng)的期貨品種鏈條,在全球范圍內(nèi),我國屬于首創(chuàng)。 正是由于焦炭行業(yè)處于鋼鐵工業(yè)與焦煤實業(yè)的中間環(huán)節(jié),使得焦炭期貨在這一產(chǎn)業(yè)鏈條對應(yīng)的期貨品種中,也處于十分重要的地位。本文希望通過對焦炭期貨進行的市場效率方面的研究,對于焦炭期貨的投資提出建設(shè)性意見、對于監(jiān)管部門進一步規(guī)范完善期貨市場提供借鑒、對于宏觀經(jīng)濟調(diào)控采用市場手段提供引導(dǎo)。此外,通過焦炭期貨與相關(guān)品種的關(guān)系體現(xiàn)出的市場效率,來為我國構(gòu)建的獨有的產(chǎn)業(yè)鏈條期貨品種的發(fā)展提供建議。 基于以上分析,本文選取焦炭期貨作為研究對象,并將焦炭期貨的市場效率進行深度剖析。對于焦炭期貨的市場效率,本文從理論與實證兩個大的方向展開。 在理論分析方面,主要對于影響焦炭期貨市場效率的因素進行研究。一是從焦炭期貨合約出發(fā),針對焦炭期貨合約所特有的特征,結(jié)合與其他期貨品種的不同點,來分析他們對于焦炭期貨市場效率的影響；二是從市場制度設(shè)計方面,結(jié)合諸如交易細則等規(guī)定,分析這些因素對于其市場效率的影響。 在實證分析方面,一方面本文立志于驗證焦炭期貨作為一個獨立的期貨品種所具備的市場效率,基本出發(fā)點是驗證其是否能夠有效發(fā)揮期貨風(fēng)險規(guī)避與價格發(fā)現(xiàn)的基本功能,因此,這一部分實證分析又是從兩個維度出發(fā)。通過采用GARCH一族模型對于焦炭期貨價格序列,建立回歸方程與繪制信息沖擊曲線,來說明焦炭期貨風(fēng)險規(guī)避功能的有效發(fā)揮；通過對焦炭期貨價格序列與焦炭現(xiàn)貨價格序列采用單位根檢驗、協(xié)整分析構(gòu)建誤差修正模型,來說明其價格發(fā)現(xiàn)功能的有效發(fā)揮。通過以上兩個維度的檢驗,從基本功能的發(fā)揮來對焦炭期貨的高市場效率進行分析。實證分析的另一方面,則是要將焦炭期貨納入對應(yīng)的煤鋼產(chǎn)業(yè)鏈條,檢驗其作為中間環(huán)節(jié),與上下游環(huán)節(jié)的螺紋鋼期貨與焦煤期貨之間的聯(lián)動關(guān)系,從另一個維度驗證其市場效率。在這部分中,本文通過對于三種期貨品種價格波動基本特征與線性關(guān)系的描述,對于三種期貨品種價格波動的聯(lián)動性進行格蘭杰因果檢驗,發(fā)現(xiàn)三者雖然在對應(yīng)實體經(jīng)濟領(lǐng)域處于上下游關(guān)系,但是在期貨市場中,并沒有很好的聯(lián)動效應(yīng),并對此進行了一些可能的原因分析。同時采用廣義脈沖響應(yīng)函數(shù)的方法,通過函數(shù)圖象進一步驗證以上分析與原因。 本文基于以上進行的理論與實證分析,對于焦炭期貨的市場效率得到了初步驗證。作為一個獨立的期貨品種,焦炭期貨能夠有效發(fā)揮風(fēng)險規(guī)避與價格發(fā)現(xiàn)的期貨基本功能,從這一角度來說,其具備較高的市場效率。而將其納入煤鋼產(chǎn)業(yè)鏈條的視角,進行的與螺紋鋼期貨和焦煤期貨的聯(lián)動性分析,則發(fā)現(xiàn)他們之間的聯(lián)動性較差,一定程度上,對于焦炭期貨的市場效率有所削弱。 最后,針對焦炭期貨具備的高市場效率以及與焦煤和螺紋鋼期貨的聯(lián)動性·分析,本文提出了關(guān)于焦炭期貨投資方面的一些建議。同時,提出了監(jiān)管當(dāng)局今后推進市場發(fā)展的一些政策建議,并對于焦炭期貨對于實體經(jīng)濟宏觀調(diào)控的可行性進行了論述。
[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.

【學(xué)位授予單位】：東北財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F724.5

【參考文獻】

相關(guān)期刊論文 前10條

1 劉鳳軍;劉勇;;期貨價格與現(xiàn)貨價格波動關(guān)系的實證研究——以農(nóng)產(chǎn)品大豆為例[J];財貿(mào)經(jīng)濟;2006年08期

2 方建春;宋玉華;;資源性商品國際市場上中國的市場勢力研究——以焦炭、稀土為例[J];財貿(mào)經(jīng)濟;2010年03期

3 文忠橋;馮德海;;金融危機下我國股票市場波動非對稱性的實證研究[J];大慶師范學(xué)院學(xué)報;2010年02期

4 關(guān)華;;基于GARCH族模型的深證成指價格波動研究[J];湖南大學(xué)學(xué)報(社會科學(xué)版);2011年03期

5 周偉;何建敏;;我國金屬期貨市場交叉影響及其傳導(dǎo)效應(yīng)實證[J];上海經(jīng)濟研究;2011年08期

6 周林;;A+H上市公司兩市股價聯(lián)動性實證研究[J];吉林工商學(xué)院學(xué)報;2012年03期

7 楊朝峰;陳偉忠;張黎;;期貨價格與現(xiàn)貨價格關(guān)系實證分析[J];經(jīng)濟管理;2005年02期

8 華仁海;陳百助;;國內(nèi)、國際期貨市場期貨價格之間的關(guān)聯(lián)研究[J];經(jīng)濟學(xué)(季刊);2004年02期

9 韓非;肖輝;;中美股市間的聯(lián)動性分析[J];金融研究;2005年11期

10 夏天;程細玉;;國內(nèi)外期貨價格與國產(chǎn)現(xiàn)貨價格動態(tài)關(guān)系的研究——基于DCE和CBOT大豆期貨市場與國產(chǎn)大豆市場的實證分析[J];金融研究;2006年02期

相關(guān)博士學(xué)位論文 前1條

1 周蓓;我國商品期貨市場效率實證研究[D];哈爾濱工業(yè)大學(xué);2009年

，

本文編號：1367629