| China is the largest coal producer and consumer country in the world. Thermal coal occupies an important position of the energy structure of China. With the active promotion in the industry, thermal coal futures successfully public listed in Zhengzhou Commodity Exchange on 26 th September 2013. Following the downturn of thermal coal spot market, futures as a tool to hedge market risk for the around turn, provides a new risk-averse approach. Listing of thermal coal futures successful perfects the thermal coal market system in our country and brings to the coal enterprises another method of price and risk aversion. Also it might ease the long time situation of "coal can’t completely linkage" and optimize the thermal coal price formation mechanism. For the coal enterprises, it brings not only opportunities but also challenges.By reviewing the development of the coal market in China, 2001-2011 is regarded as the coal industry’s golden decade. The price rose from 200 yuan to over 1000 yuan. Till 2011, more than 10 coal enterprise groups have reached 7, 5000- ton coal enterprise group. Thermal coal import tariffs, since April 1, 2005 tax cut to 3% from 6% before. Since November 1, 2006, and decreased to 1%, from 3% since June 1, 2007, the tariff is zero. In 2009, China firstly became a net importer of coal. 2 years later, China overtakes Japan as the world’s largest coal importer. Another major policy is to cancel the coal production license, business license, handle the coal business license which could make the enterprise cost once each year. Thereby reducing the number of coal enterprises. Coal business license is removed, which is beneficial to promote participation in the growth of the coal business enterprise.Recently, the economic growth of China is slowing down, moving into the "new normal" of national economy, government regulation and control goal are not blindly pursuing rapid GDP growth, also pay attention to the quality of economic development. More attention have been put into the influence of economic development on the ecological environment and increased the support for the development of new energy policies. On the one hand, the demand of energy for real economy is falling. While on the other hand, the overcapacity in coal enterprises, overseas coal imports continue increasing. The superposition of a series of factors caused the operating environment of the coal industry as a whole is facing a new dilemma. Large enterprises aim to reduce the competition and constantly big price cuts. Coal companies are in tough times, how to survive is becoming the primary problem of all coal enterprises need to consider, to maintain the stability of the coal enterprises production and sales, for thermal coal futures have greater demand.Thermal coal futures market in China has just started on the market. Since listing operation situation is not as expected, there still are some problems need further improvement. In order to make this emerging power coal future market healthy development, requires for thermal coal, the various problems appeared since the futures market research, for the sound development of thermal coal futures market in China. This paper select "problem of thermal coal futures market in our country and improve research", combining the thermal coal market situation in our country, through the system of theoretical research on the problems of thermal coal futures market a meticulous analysis, finally study specific design scientific and reasonable thermal coal futures contract. It has not only important theoretical significance but also important practical significance.In this paper, based on the study of the scholars at home and abroad, by adopting the combination of qualitative and quantitative research methods, under the thermal coal futures related background, operation status, problems and improvement measures, thermal coal futures contract rationality design, thermal coal futures pricing model and price forecasting model, the optimal thermal coal futures hedging ratio and so on has carried on the system research. Due to thermal coal futures in China started late, practical operation and system management still exist such problems as inadequate experience but also for thermal coal futures risk research in Chinese academic circle is relatively small, in this paper, the direction of intensive research not only conforms to the actual needs of large coal enterprises, and to make up for the academic research in the blank field.The main research content is as follows:(1)Background of the associated thermal coal market futures of ChinaSince 1998, in the futures market regulation of China, the benign development, continuously improve operation system, scale expands unceasingly, trading varieties growing. Coal, however, this relationship to the national economy and people’s livelihood the important resources of product failed to enter the futures market. Coke futures contracts in 2011 to get without the approval of the CSRC approval coking coal futures contract in 2013 and traded on March 22, clinch a deal on active, showed a good momentum of development, coke futures far-reaching impact on the whole industrial chain. Thermal coal futures also won the China securities regulatory commission approval, the Chinese thermal coal futures in Zhengzhou Commodity Exchange listed on September 26, 2013. From 2010 to 2013, the marketization of power coal spot prices, in fluctuation thermal coal prices fall, cause a lot of losses for coal enterprises, the industrial chain of enterprise real hedging demand avoid price risk, academia for a long time for thermal coal, the listing for trading of futures contracts is high, the successful launch of thermal coal futures market, it is reasonable to guide the thermal coal market, regulating the fluctuations in coal prices, promote the improvement of the coal supply and demand environment. However, due to the imperfection of the existing conditions, at the end of 2013 in haste to launch thermal coal futures and all kinds of problems. It is important to alleviate the impact of a series of problems and make the new line of thermal coal futures market to realize III both smooth and fast thermal coal futures trading platform, is an imminent problem and also very worth studying.(2) Analysis thermal coal futures market operation situation in ChinaThis paper applies the method of research, and reviews deeply analyzed the operation condition of the thermal coal futures market, thermal coal futures operation for more than a year, running state can be summarized in four aspects: price volatility, trading was relatively active and the futures price changes ahead of the spot price, delivery is completed for the first time. Thermal coal, and further to the large state-owned coal enterprises to carry out the situation analysis, found the main coal enterprises in our country are listed to the success of thermal coal futures cash positive and in power before and after the coal futures market, the main coal enterprises have carried out professional training, related research, and to form a special business activities. The success of the thermal coal futures market, the perfect the thermal coal market system in our country, brings to the coal enterprises find new tools price and avoid risk, easing in China for a long time "coal can’t completely linkage" pressure, optimizing the thermal coal price formation mechanism.(3) Necessity study of thermal coal futures operational problems in ChinaThermal coal, the success of the futures listed to improve the degree of marketization of power coal has obvious promoting role, but in the actual forward will encounter all sorts of problems and difficulties, in this paper, the thermal coal futures market in China classify various problems of current research, summed up the main problem of thermal coal futures market in China now is a traditional industry upstream and downstream to strengthen cohesion, conversion rate, etc., and further to the thermal coal futures operation about the external environment and internal environment of comprehensive analysis, select the key environmental factors, successfully build up the external factor evaluation matrix(EFE) matrix and internal factor evaluation matrix(IFE) matrix. After operation analysis, found that the present stage of thermal coal futures market internal operating environment faced by the total weighted value is 2.8021, is greater than the average of 2.5 points, thus demonstrated that the current our country internal thermal coal futures market operating environment advantages outweigh the disadvantages. Using thermal coal futures operation the external environment and internal factor evaluation EFE matrix IFE matrix for evaluating the environmental factors of quantitative calculation, fully proved thermal coal futures in our country at present stage operation has good internal conditions and external environment. Need for thermal coal futures market in China of the major problems facing each link, to formulate the corresponding countermeasures, so as to form a series of improvement measures. Althrough matrix factor operation, fully confirmed to carry out the thermal coal futures is the real demand of the market economy in our country, further strengthen the power coal futures market related issues in the early research is great necessity.(4)Research of thermal coal futures pricing model in ChinaFirst of all, the pricing model of power coal is researched, reviews the history of the global thermal coal pricing model, although there are a lot of international coal trading mechanism can be found, but currently there is no have extensive influence in thermal coal price formation mechanism. Then, the characteristics of domestic thermal coal prices, pricing model evolution, such as thermal coal prices in different areas of the study, nearly 30 years since the constant evolution and evolution of thermal coal pricing mechanism in our country, showing planned and unplanned prices gradually converge. The development of international coal price index has been relatively mature, including BJ Australian thermal coal, Europe ARA index, Richard RB, Newcastle NEWC index, etc. Of thermal coal, this paper further researches on the relationship model of spot, contrast the effectiveness of the model number and limitations, the design of thermal coal futures price forecasting model, established the reaction factors more linkage mechanism of power coal futures price forecasting model, the analysis of railway traffic, coal stocks, anchorage ship quantity, PPI(producer price index) and PMI(purchasing managers’ index), and other indicators and the change of the relationship between thermal coal prices. Of thermal coal, this paper further researches on the relationship model of spot, contrast the effectiveness of the model number and limitations, the design of thermal coal futures price forecasting model, analyzes the selection of model variables, in order to eventually create through stability test model.(5) Research of thermal coal futures hedging optimal ratio modelThis study compared the risk of futures contract measurement method, choose the Va R risk measurement model measuring the risk of thermal coal futures speculation, and by improving the model of optimal hedging resale value, respectively from the futures based risk minimization and the combination of the asset value maximization constraints, through hedging the risk assumption, solving several model of hedging ratio, confirmed the effect of the Va R model of optimal hedging ratio is better, can to a certain extent, reduce the thermal coal futures price basis risk. Using Va R risk measurement model, for thermal coal futures hedging the risk of qualitative research, explore the most effective hedging risk measurement method. The optimal hedging ratio calculation based on Va R, choose the most suitable ratio of hedging is to reduce risk, and get the optimal hedging results. Based on utility maximization and risk minimization of the objective function, and carries on the contrast research, and further solving several kinds of hedging ratio of the model, and contrast the pros and cons of several hedge ratio, calculate the hedging effect. From the results of this study, the difference between each model is small, though there are several ways to use convenient, but the optimal hedging ratio shows that Va R model of the effect is better. By improving the model of optimal hedging resale value, respectively from the futures risk minimization and asset value maximization based the combination of the constraint condition, through hedging the risk assumption, solving several model of hedging ratio. Va R model can be used according to the different main body, flexible adjustment of the confidence level, to adjust the hedging ratio role fully, so as to achieve the benefits and risks of optimization.(6) China thermal coal futures contract case analysisThis study from trading unit benchmark price and minimum delivery quantity, delivery, minimum price change, we want to deposit, delivery month, delivery mode, the last trading day, the last delivery day aspects such as the thermal coal futures contract design, put forward the operation of the thermal coal futures should notice to deal with in the process of delivery, such key links as thermal coal futures risk control supervision and management, combining with the above perspective, to predict the price of risk measure and design the thermal coal futures margin system, risk warning system, we want system, etc. China thermal coal futures contract design goal is to achieve the most extensive participation in group, clear trade mark, the adequate delivery of products, the most simple of index design, the most effective risk prevention system, the most convenient way of delivery, listing of thermal coal futures contract in design, delivery, innovation risk control system. The study found that the thermal coal futures trading and settlement, thermal coal futures risk control management system is a top priority. In addition, the current power coal futures margin system, WE system, storehouse system, forced to unwind system, risk warning system etc. have been carried on the further optimization design.
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