Research On The Linkage Effect Between Rebar Futures Price And Stock Price Of Listed Companies In Steel Industry

China is the world's largest steel producer and consumer.For a long time,China relied on investment to boost economic growth in the past.Therefore,the steel industry has also developed rapidly.Steel listed companies are also rapidly expanding.Under the background,China launched rebar and wire futures in 2009,and then launched a series of related products in the iron and steel smelting industry,which made the financial properties of steel products stronger and stronger,while The linkage relationship between the stock prices of steel companies listed in the steel industry and steel futures is also strengthening.From the empirical point of view,this paper studies and analyzes the linkage relationship between the two markets,and seeks the way and characteristics of linkage between the two markets.Therefore,on the one hand,it can help to understand the linkage between the stock market and the futures market,on the other hand,it can provide useful data information for business operations,help companies to formulate policy strategies,and help investors develop arbitrage strategies,find short-term market deviations,and maximize return on investment.Considering that the changes in commodity futures prices have different effects on the operating performance of upstream and downstream enterprises,in order to present the dynanic correlation between the two in a more scientific and accurate way,this paper divides the relevant stocks into upstream and downstream.The representative stocks are selected into stock price indices to avoid the heterogeneity of individual stocks,and the DCC-GARCH model is used for empir:ical analysis to obtain an intuitive change graph of the two market correlation coefficients.At the same time,taking the rebar as an example,the paper studies the dynamic correlation between the fluctuation of China's commodity futures price and the stock price of related listed companies in theory and evidence.In theory,this paper draws on the mainstream futures and stock pricing theory,combined with the specific factors affecting steel futures prices and stock prices,and finally summarizes three transmission mechanisms between the futures prices and the relevant stock prices.They are the futures market price discovery,the flow of funds,and investor expectation respectively.In the empirical test part,this paper selects the rebar stock price from the 2009 to 2018 rebar and the stock market price of 10 listed companies in the upstream and downstream of the steel industry chain,and prepares the steel industry with reference to the preparation rules of the SSE 50 Index.The stock price index of listed companies in the upstream and downstream,and then the descriptive statistics,the stationarity test and the ARCH effect test on the logarithmic rate of return of the rebar futures and the steel stock price index,the DCC-GARCH model is used to estimate the following conclusions:The revolving futures price and the fluctuation of the steel industry stock price index have significant continuity;the dynamic correlation coefficient has obvious time-varying throughout the sample interval;there is a strong positive correlation between the rebar futures price and the downstream enterprise dynamic coefficient.Relationship;while the upstream enterprise dynamic coefficient remained basically stable throughout the period,providing investors with two arbitrage methods based on the results,namely arbitrage between the stock market and across markets.