Research On The Dynamic Efficiency Of Price Discovery In The Rebar Futures Market

Since the steel futures were launched in 2009,Chinese steel industry has undergone a series of tremendous changes in the last ten years,characterized by three stages.The first is the stage of expansion(2009-2012)during which Chinese government adopted a series of policies to stimulate the economy.Then the output in the steel industry grew continuously,and the consumption of crude steel kept rising to a new high.The second is the stage of overcapacity(2012-2015)when the consumption of steel continued to decline against the background of the decline of national economy.The problem of the steel supply exceeding demand became more and more prominent,and steel prices kept reaching a new low until 2015,when the industry suffered general losses and management became extremely difficult.The third is the stage of deproduction(2015-now).As the structural reform of the supply side was launched at the end of 2015,the backward productive capacity of steel has been forced out,and the supply and demand in the steel industry gradually reached a balance;steel prices began to rise again.Against the above-said background,this paper discusses for the first time the dynamic efficiency seen from rebar futures prices,analyzes the factors that affect it,and compares the differences and similarities of the factors at the different stages of the steel industry.Based on qualitative and quantitative analysis,this paper selects the relevant data of the rebar futures market across nine years--from 2009-201--to make an empirical test using VECM model,state space model and fixed effect regression model.The conclusions are as follows.First,there is a price discovery efficiency in the rebar futures,and the futures price has a guiding effect on the spot price;second,the overall efficiency of the price discovery of the rebar futures is low.In different periods,the price discovery efficiency of the futures is different.At the stage of expansion,it is on the low side;at the stage of overcapacity,it is prominently promoted and fluctuated greatly;at the stage of deproduction,it fell back to a low level.Third,the stock of rebar is an important factor that affects the efficiency of futures price discovery,and at the different stages of the development of the steel industry,the stock has different influence on it.