Empirical Research Of Price Discovery Function Of Coking Coal-coke-rebar Futures Market In China

China is the biggest producer of steel and coal in the world.As the economy development enters into the new normal,coal and steel industry suffer from the problem of serious excess capacity.In recent years,the government continues to accelerate structural reform of the supply which not only injects vitality into the development of the industry,but also makes the industry in a huge risk of fluctuation of price.In 2016,coal prices rose more than 200%,steel prices rose more than 70%,and it seriously affects the enterprise's production and operation plan.In 2013,coking coal futures listed on Dalian Commodity Exchange.With the coke futures listed in 2011 and rebar futures listed in 2009,the whole industry chain was completed in the futures market.These derivative financial instruments provide an important channel for coal and steel companies to reduce operational risk.Price discovery function is the core of futures market function,whether coking coal,coke and rebar futures market have price discovery function is worth studying.Based on the above considerations,the author choose coking coal futures,coke futures and rebar futures as the research object,summed up the research methods of the discovery function at home and abroad,and combined with the characteristics of this topic to do research.Firstly,the author analyzed the price discovery function of futures market.Secondly,the author analyzed the current situation of coking coal-coke-rebar market in China.And then from five aspects of correlativity,long-term relationship,short-term relationship,the dynamic path and the specific degree of the interaction,the author applied the correlation analysis,Johansen cointegration test,Granger causality test,vector error correction model,impulse response function and variance decomposition to analyze the price discovery function of coking coal,coke and rebar futures market in China.Finally,the results were summarized and analyzed.According to the different time to list,the author choose different interval of price data in the empirical analysis process.The interval of sequential price data of coking coal was from August 1,2013 to August 31,2016,a total of 750 samples,that of coke from October 10,2011 to August 31,2016,a total of 1162 samples,that of rebar from August 3,2009 to August 31,2016,a total of 1722 samples.The empirical results show that:There is a long-term equilibrium relationship between futures price and spot price of coking coal,coke and rebar,and the adjustment process of short-term imbalance to long-term equilibrium is mainly realized by adjusting spot price.There is only one-way guiding relationship between futures price and spot price of coking coal and coke.Rebar futures price and spot price has a two-way guiding relationship,yet guiding effect of futures price more obvious.Impulse response function and variance decomposition show that futures market plays a leading role in the process of price discovery.Moreover,from the perspective of the impact of futures price on spot price,the strongest impact is coke,followed by coking coal,and finally rebar,and spot price has a weak impact on futures price.Finally,according to the empirical results,the author puts forward some policy suggestions:Firstly,continue to strengthen structural reform of the supply of coal and steel industry,and improve spot market construction.Secondly,improve the futures contracts,enhance the enthusiasm of hedgers,and improve investor structure.Thirdly,popularize futures knowledge,strengthen investor education,and improve the regulatory system.