动力煤期货价格发现实证分析与企业开展套期保值研究
发布时间：2018-10-13 12:59
【摘要】：期货市场作为我国经济体系的重要组成部分,它在为投资者建立通畅合理的投融资通道同时,还为我国经济平稳发展起到稳定支撑作用。在世界范围内普遍认为期货市场具有两大基本功能,它们就是对于现货市场的价格发现功能以及对经营企业的风险规避功能。动力煤作为国家的重要战略物资,其相关产业的平稳运行同样关系到国家的经济安全。伴随着我国国民经济逐渐崛起,国内对于动力煤的需求也日益递增,造成我国每年都需要进口大量动力煤。但是与国内巨大的市场相比,我国在动力煤的定价权上只有很小的权重。动力煤期货作为我国首个大宗资源类商品期货,它的上市迈出了我国探索大宗能源类商品期货的第一步,对于抢占能源期货的制高点,提升在国际市场的定价能力十分有帮助。但是,动力煤期货的市场功能到底发挥如何,能否实现价格发现功能。在现货市场价格频繁波动的情况下能否帮助企业及时锁定利润并规避风险是很多研究者关注的问题。 本文首先对期货市场的的价格发现功能做出理论研究,考察了期货市场的起源、发展、功能及作用,从理论上分析了现货价格与期货价格之间的关系,以及期货市场价格发现功能的形成机理。随后进一步分析了影响我国动力煤价格的因素。最后选择了动力煤期货上市以来至2014年3月20日的动力煤期货与秦皇岛5500动力煤现货市场的日收盘价格数据进行分析。在分析中首先对两组数据进行了相关性分析,在发现两组数据具有高相关系数后,进行了单位根检验。在保证数据平稳性的前提下本文利用基于Var模型的Johansen协整检验与Granger因果检验来进一步判断动力煤现货与期货之间的作用关系,最后根据方差分解量化了二者对于对方的贡献程度。 根据研究结果显示,我国动力煤期货市场具有一定的价格发现功能,对现货市场存在一定的指导性。基于本结果,本文尝试为动力煤相关企业如何利用套期保值来规避经营风险做出了指导。
[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.
【学位授予单位】：郑州大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F724.5;F224
本文编号：2268720
[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.
【学位授予单位】：郑州大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F724.5;F224
【参考文献】
相关期刊论文 前2条
1 华仁海;刘庆富;;股指期货与股指现货市场间的价格发现能力探究[J];数量经济技术经济研究;2010年10期
2 高辉;大连商品期货价格协整关系与引导关系的实证研究[J];太原理工大学学报(社会科学版);2003年01期
，本文编号：2268720
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