The Study On Market Value Management And Hedging Of Coal Listed Companies From The Perspective Of Risk

The concept of market value management has been proposed for only ten years, so that the understanding and practice of market value management is still in the exploratory stage. With the "new country nine" being carried out, market value will be encouraged by the state administration as a content of management system, and will attract more and more attention. Most of the listed companies carry out market value management by means of capital operation, such as private placement, share repurchase, the overall market, asset injection, merger backdoor listing, and margin trading. We can see that capital operation is valid by comparing the performances before and after market value management operation. However, with the rapid development of economic globalization, and the stock market entered a new normal presentation, financial market risk has a more significant impact on the company’s market capitalization ever than before. It is necessary go do well in market value management from the perspective of risk for creating wealth and protecting the wealth.The main work of carrying out market value management from the perspective of risk, is to make use of hedging. By hedging, risk can be controlled within a certain range, specifically, in the period of overheating economy companies can have a lock-in cost for businesses and reduce the cost of financing, for enterprises in the cash-strapped times, the economic downturn or oversupply stage hedging can stable profits for the enterprise. Therefore, companies use hedging operations may implement in a controllable risk on the basis of risk minimization, with the same object of market value management.Companies can reduce their risks through hedging, however, the use of financial derivatives itself has risks, hedging over improper operation, not only cannot reduce the risk, but also lead to greater losses because of inappropriate use of hedging. The loss caused by bad hedging has become an important part of the total loss. Do companies really need hedging? Does hedging increase risks or reduce risks? How shall we use hedging to reduce risks? The coal companies have to solve those problems. If they use a hedging strategy, how to improve the effectiveness of hedging is an important issue for market value management from the perspective of risk.The main risks that the listed coal companies face is the risk from the fluctuations of commodity. Because of being in the black chain which includes coking coal, coke, steel and iron ore, the price is infected by the industry chain. After the main futures varieties listed on the market, most people think it will improve the co-movement. However, it still needs testing.The study is based on the issues mentioned above. Taking coal listed companies as an example, the paper studies the situation of market value management in coal companies, identifies the risk, and examines the change of price co-movement after the main futures varieties listed on the market. By improving the hedging model, we can reduce the risk of hedging.The research contents are as follows:Chapter one is introduction which has drawn the following content. First it defines some relevant concept of the objects, then introduces the researching background and promotes the significance and the main problem. In the introduction section, this paper elaborates on the research contents, the methods and the train of thought in preparation for the whole text.The second chapter is literature review. It describes the relevant research at home and abroad including the theory of market value management, measuring the risk, risk management and the relationship between risk management and value of companies. Based on the above research, the paper evaluates the results which lays foundation for the whole study.The third chapter is the situation analysis of market value management. It analyses the status of market value management at this stage and points out the existent problem. It takes listed coal companies as an example, uses DEA model to evaluate the performance of market value management, and identifies risks. After that the paper introduces the main measures for market value management, which pays the way for the section measuring the risk and controlling the risk.The fourth chapter is the study on financial risk management and market value of coal companies. It studies the mechanism of action between financial risk management and market value first and then the relationship with empirical study. The result shows that using financial derivatives to hedge can motivate market value management, which is the premise of market value management from the perspective of risk. After that the paper measures the financial risk, studies the effect that futures of the black industry chain make on the co-movement in this chain and makes use of hedging by varieties of futures to increase the ability of defending risk to get the conclusion of the paper.The fifth chapter is the simulation study of measuring financial market risk. By comparing many kinds of models of measuring risk, this paper chooses Monte Carlo simulation to measure market risk and takes listed coal companies for example to calculate Va R of coking coal future so that the financial market risk can be measured through simulation. Measuring the risk is the key step for risk management and the foundation of controlling risk, it is the important part of the market value management from the perspective of risk.The sixth chapter is the analysis of co-movement in the black industry chain by comparing before and after the futures listing of the chain. The risk that listed coal company faces is market price risk. Coal belongs in the black chain so that its price is effected by the whole chain. Research of coal price fluctuation risk must return to the whole black industry chain. The growing coupling effect of spots in the black catenary after the main varieties of futures are available. Because the spot prices and future prices of coke, coking coal and rebar have a lone-term equilibrium relationship prominently, companies can choose hedging by using varieties of futures.The seventh chapter is hedging by varieties of futures. Copula vine structure decomposition method is used for multivariate copula function decomposition, and combining the Copula function with GARCH model the paper deducts the new model with empirical research. The result that the paper gets from the new model is compared with the result get from traditional model, and finally get the conclusion.The eighth chapter is the conclusions and prospects. It summaries the results of the whole study, promotes the innovative points, and predicts the next step.The conclusions of this paper are given:Through the summary of the market value of listed companies management present situation, the author use of DEA model empirical studied 40 listed coal company market management situation, found that the market value management deficiencies, it is pointed out that the risk caused by fluctuations in the prices of raw materials is the main risk of coal enterprises’ management, leads to the following on the financial risk measurement and hedging model improved.The author found that financial derivatives risk management plays a significant role in promoting management for market value of the company, through reaction performance indicators can be seen, it is uncertain that the enterprise whether to use financial derivatives for risk management for enterprise performance or not. It is foundation that enterprises take market value management from the perspective of risk.Monte Carlo simulation method is used to calculate the coking coal futures Va R value for coal enterprise, this value reflects the profit and loss value the coal enterprise, which hold the futures, in the next month. Risk measurement is an important step of risk management, also an important part of the market value of the management.Research of coal price fluctuation risk must return to coal in the whole black industry chain. There is significant long-term equilibrium relationship between Coke, the spot price of period for coking coal, iron ore traded in 2013, black industry chain between the spot price linkage significantly enhanced after black industry chain mainly futures are listed. Through empirical and quantitative analysis method, it is proved that the listed futures varieties of black, especially the main varieties are available, for black industry chain of the price linkage has a good role in promoting, for spot enterprises can cross breed to hedge the risk of lay the foundation.Pioneering the n-dimensional copula function of hedging, the exploration well fitted between the futures and spot the nonlinear hedging with futures and futures nonlinear superposition to improve hedging accuracy as the ultimate destination.The main innovation of this paper is below:The author found out the related indicators, which affect the market value and the performance of the company by multiple regression analysis method, and took financial derivatives risk management as a dummy variable to study the using of financial derivatives for risk management on the market value of the influence for coal listed companies, conclude that the application of financial derivatives to hedge the risk play a role in promoting e market value. For the first time, the author took an empirical analysis of the coal listed companies risk management and market value, and laid the foundation for coal enterprises launching market value management from the view of risk.The paper finds out the mapping relationships between market risk factors and the value of coking coal future from the theory of future pricing and simulates the 30 possibilities of the two risk factors(risk-free rate and average relates of assets)which affect the future value at random. We use Monte Carlo simulation to calculate a monthlong Va R of coking coal future, which reflects the profits and loss of the companies holding coke coal future contracts in the next month.The coal companies have to face the huge price fluctuation risks and go back to the black industry chain to control the risks. Many scholars have studied the price linkages among an industry chain, but the black chain is special because the main future varieties have come into the market. We use the VAR model to study the effects of price linkages and the result shows that the price linkage was enhanced. There is a significant long-term equilibrium among the price of coking coal, coal and steel, so that companies can use multi-futures model to hedge.Copula vine structure decomposition method is used for multivariate copula function decomposition, which avoided the limitations of the application of Copula function, and found pairwise nonlinear relations between futures and futures, futures and spot based on Copula theory, also used in the n-dimensional copula function of multi futures hedging. This paper aiming at two kinds of futures and spot using different distribution to describe the different characteristics, achieved the requirements of the characteristics of better fitting to the data sequence theory, making it close to the characteristics of the data itself.