焦煤期货价格发现功能的影响因素研究  

Research on Determinants of Coking Coal Futures'Price Discovery Function

作　　者：燕志鹏 顾新莲[1] 耿宇宁 

机构地区：[1]中北大学经济与管理学院

出　　处：《价格理论与实践》2020年第8期116-119,共4页Price:Theory & Practice

基　　金：山西省高等学校哲学社会科学研究项目:供给侧改革下煤炭期货的功能研究,编号:2019W096。

摘　　要：供给侧结构性改革推动我国煤炭行业步入高质量发展阶段。本文基于BEKK-GARCH模型,以2016年1月4日至2020年1月23日的日数据为样本,定量测算焦煤期货价格发现功能的动态演变,并探讨影响价格发现功能的决定因素。研究结果表明:焦煤期货的价格发现功能增强,贡献度超过现货,且随时间越来越强;期货贡献度的大小与成交金额微弱负相关,与手续费显著负相关,与保证金比例显著正相关;而投机交易会显著削弱期货的价格发现功能。Supply-side structural reforms have pushed China's coal industry into a stage of high-quality development.Based on BEKK-GARCH model,this paper uses daily data from January 4,2016 to January 23,2020 as the sample to quantitatively measure the dynamic price discovery contribution of coking coal futures,and analyzes determinants of the future's price discovery function.Our results show that the price discovery function of coking coal futures has been enhanced,and its contribution has exceeded that of the spot,and becomes stronger over time;the future's contribution in price discovery is slightly negatively correlated with its volume,significantly negatively correlated with the transaction fee,and significantly positively correlated with the margin ratio;speculative trading will significantly weaken the price discovery function of futures.

关 键 词：焦煤期货 价格发现功能 信息份额 

分 类 号：F764.1[经济管理—产业经济] F724.5