中国主要煤炭现货价格指数与期货价格指数联动效应比较研究

Comparative study of the linkage effects between China's main coal spot price index and futures price index

鉴于我国煤炭现货价格指数发布较多,有必要选取主要煤炭现货价格指数与期货价格指数联动效应进行比较研究,基于协整理论的平稳性检验、基差及方差分析对5家煤炭现货价格指数CCI、Wind、YBSPI、CCTD及BSPI分别进行实证研究,发现在2016年4月29日之前,现货价格指数与期货价格指数联动效应并不显著,且期货对CCI、Wind的影响程度大于对CCTD、BSPI的影响程度;2016年4月29日之后,联动效应显著起来,且现货价格指数除BSPI、CCTD外,均与期货之间存在稳定的协整关系,期货价格是现货价格的格兰杰原因;给出了5家现货价格指数与期货价格指数的关联影响程度,并给出排名。政府有必要对煤炭现货价格指数的编制与发布进行规范,以更好地获得真实交易,充分发挥期货市场规避风险的功能,提高资源配置效率。

In view of the fact that China’s coal spot price index has been compiled and released more frequently,it is necessary to compare and select the linkage effects of main coal spot price index and the futures price index.Based on the stability test,base spread and variance analysis of co-integration theory,the correlations between the five coal spot price indices including CCI,Wind,YBSPI,CCTD and BSPI were empirically studied.It was indicated that before April 29,2016,the linkage effects between the two were not significant,and the influences of futures on CCI and Wind were greater than that on CCTD and BSPI.After April 29 th,2016,the linkage effects of the two price indexes were significant,and the spot price index had a stable co-integration relationship with futures except for BSPI and CCTD.The futures price was the Granger cause of spot prices.The degree of correlation between the five major spot price indices and the futures price index was identified and a ranking was given.It is necessary for the state to standardize the preparation and release of coal spot price index to have better access to real transactions,give full play to the function of futures market to avoid risks,and improve the efficiency of resource allocation.