Research On The Coke Futures Market Efficiency

China’s coke futures began in April15,2011listed, which has been more th an two years of trading records, is the only global coke futures market trading pra ctice, attention to the market efficiency by the industry. The main purpose of the paper is based on the existing evaluation efficiency of futures market research and financial theory, proposes the evaluationefficiency of coke futures market standar ds, more practical, and to evaluatethe efficiency of China’s coke futures market.In order to achieve the research goal setting, this paper studies the designin cludes six chapters. The first chapter is the introduction, mainly puts forward th e research problems, and puts forward a research framework for the design metho ds of the research; the second chapter introduces thedevelopment situation of C hina’s coke market from three aspects of development, China’s coke industry, cok e coke futures market price changes, the core of the foundation; the third chapter i s one of the core content of this paper, the development process of the effective ness of capital market theory analyzes the definition and evaluation standards, an dthe efficiency of the futures market are put forward from the marketperspectiv e, consider that risk aversion and the price is the basic functionof coke futures m arket, market efficiency evaluation criteria corre spondingrespectively information e fficiency standards and pricing efficiency standards, can the degree of realization of this efficiency evaluation by twoto determine the two basic functions of the futu res market, and then judge the effectiveness of futures market; the fourth chapter and the fifth chapterdon’t use econometric methods to coke in China futures mark et’s information efficiency and pricing efficiency to do the empirical research,the core is the main section of the paper. The fourth chapter is based on the relate d research foundation, uses the GARCH model to test the cokefutures market in t he day of week effect exists or not to explain the information efficiency of the market, we found that China’s coke futures market have negative Monday effect, o bvious negative Tuesday effect andWednesday effect, explain the information effici ency of China’s coke futures the market lower, speculators can obtain excess profi t through the historical information, the risk aversion function realization degree is not high; the content of the fifth chapter by using VAR model and error correc tion models econometric methods test the futures market price and spot market p rice lead lag relationship and information transmission mechanism, to evaluate th e degree of realization of the function of cokefutures market price discovery, an d through the test of futures prices and the corresponding between the spot price t o investigate the pricingefficiency of the futures market, price discovery of coke f utures in China is the Granger cause of spot price of single direction, the impulse response function and variance decomposition results show, coke futures prices c ancause changes in the spot price, and error correction model results show that t he coke futures prices Deviation of lattice and its long-run equilibrium value is gr eater, the futures price can modify the spot price is greater. The empirical results s how that higher pricing efficiency of China’s coke futures market, price discovery f unction to achieve better; the sixth chapter is the summary and outlook of this p aper. In this paper, to explore the theory conclusion think, should from the marke t function achieving perspective evaluation criterion is proposed for the futures m arket efficiency,information efficiency standards and pricing efficiency standards.C onclusion the empirical study shows function has not been fully realizedthe ris k of coke in China futures market hedging, price discovery function isachieved, in vestors and regulators should adjust the investment strategy and improve the regu latory system.