我国动力煤期货运行效率研究

The Study on the Operating Efficiency of Thermal Coal Futures in China

本文运用实证研究方法分析了我国动力煤期货的价格发现和套期保值功能。研究结果表明:动力煤期货价格和现货价格存在长期均衡关系;动力煤期货和现货价格之间存在双向价格引导关系,但期货价格的作用更强;通过套期保值,仅可降低动力煤现货市场2个百分点的风险,动力煤期货对动力煤现货不存在套期保值功能。针对以上研究结果,本文提出了相应的对策建议。

By using empirical research, this paper analyzes the price finding and hedging functions of thermal coal futures in China. The results show that there is a long-term equilibrium relationship between thermal coal futures and thermal coal spot;there is a bi-directional relationship between the price of thermal coal futures and thermal coal spot, but thermal coal futures in price discovery plays a greater role;thermal coal futures has no hedging function and through hedging operations the risk of spot price fluctuation is only reduced 2%.Based on the results of study this paper puts forward some targeted countermeasures and suggestions.