Empirical Analysis Of The Factors Affecting The Price Of Hot-rolled Coil Futures

Steel production and consumption in China rank the first in the world.Steel plays a very important role in the national economy,and rebar and hot-rolled coils account for the highest proportion of steel production.The supply-side reform of the steel industry,started in 2016,eliminated a large amount of backward steel production capacity and promoted a sharp rebound in steel prices.However,the rate of increase in steel prices has become smaller,and the implied risks of high price have increased,with the marginal benefits of the supply-side reform gradually weakening and the real estate cycle beginning to turn and the demand beginning to shrink deal to the downward pressure on the economy.The hot-rolled coil future was listed on the Shanghai Futures Exchange on March 21,2014.It has been operating for more than 4 years and the volumes have been good.In order to help traders in the hot-rolled coil futures market to improve the winning rate of their strategies,this paper carries out a comprehensively theoretical and empirical study on the influencing factors of the hot-rolled coil futures price,which has certain reference value and practical significance.Compared with many similar literatures,this paper includes the following innovations:(1)There are not many related researches on hot-rolled coil futures because they have not been listed for a long time.This literature can just be a supplement in this field.(2)Based on the analysis of cost,supply and demand factors,the influencing factors of hot-rolled coil futures prices have been analysed theoretically and empirically,which makes this paper more comprehensive than the research of similar literatures.(3)In this paper,the empirical analyis is designed to be carried out in two parts.The first part emphasizes the analysis of the mutual linkage between the hot-rolled coil fytures price and the spot price,which clarifies the basis of the significance of the research topic.Then the influencing factors of the prices are empirically analysed in the second part.This design is relatively more rigorous and comprehensive.By combining literature research,theoretical analysis and empirical analysis,this paper has conducted a comprehensive study on the influencing factors of hot-rolled coil futures prices on both theoretical and empirical levels.The empirical research in this paper is divided into two parts:The first part is to analyze the linkage between hot-rolled coil futures price and spot price by using Granger causality test.Only if the futures price and spot price are highly linked,it is practical for the entity to formulate the hedging strategy by analyzing the influencing factors.The second part is to gradually add different influencing factors into the stepwise regression model,to obtain the positive and negative correlation of the relevant influencing factors to the hot-rolled coil futures price and the significance of the correlation,and to obtain the core empirical analysis results.The empirical results indicate that:(1)There is a high degree of linkage between the main futures price and spot price of hot-rolled coil;(2)The main futures price of iron ore,the main futures price of coke,the average daily output of crude steel,the national cement price index,the new order index of the purchasing managers of the steel industry,and the cumulative year-on-year growth of power generation are all positively related to the hot-rolled coil futures price,but the influence of the cumulative year-on-year growth of power generation is relatively weak.The weak influence of cumulative year-on-year growth of power generation may be mainly result from the different levels of data representation,continuous changes in industrial structure,and slow macroeconomic impact For most of the time,the relationship between the price of hot-rolled coil futures and the price of iron ore and coke futures is relatively tight,and the correlation with iron ore is particularly significant.Finally,based on the results of the above empirical analysis,this paper gives corresponding recommendations for different market participants.