| China,which is in the middle and later stage of industrial development,still has huge demand for steel and plays an important role in economic development.In 2018,the steel industry continued to carry out supply-side structural reform,including preventing the resurgence of strip steel,blue sky protection and production control,etc.,all of which have achieved good results.As a result,the structure of the steel industry has been significantly optimized,the overall price of the steel industry has been running at a high level throughout the year,and the industry’s economic benefits have been annualized at the highest level in history.Steel futures have been promoted twice in the Chinese market.Wire futures were introduced in 1993.However,due to multiple problems in the Chinese financial market at that time,steel futures did not work well.The trading of this product was suspended at the beginning of 1994.With the gradual development of China’s economy,China has become the world’s largest consumer and producer of steel.In order to fight for the pricing power of commodities and reduce the price risk of steel enterprises,China launched rebar futures in 2009 and became the most active futures on the Shanghai futures exchange.This paper mainly uses statistical method to study the influence of futures price fluctuation on stock price.First of all,ADF is used to test the stationarity of data.The VAR model is established under the data of the same order,test the lag order and the stability of the VAR model.Then the co-integration test and granger causality test were carried out to determine the influence direction.The vector error correction model is established to analyze the short-term repair when two groups of time series deviate from the long-term equilibrium.Finally,impulse response analysis and variance decomposition are established under the framework of VAR to analyze the changes of downstream stock prices and their impact degree when futures prices change.The main conclusion of the empirical test is that the price change of rebar futures cannot cause the stock price change of the upstream raw material industry(coal,iron),but can cause the stock price change of the downstream industry(infrastructure,machinery).In the last chapter,this paper analyzes the causes of this phenomenon and puts forward some suggestions on how to improve the futures market.The biggest innovation of this paper:The first innovation is the selection of two research objects,rebar futures and upstream and downstream industry stocks.In the past,the single stock research was mostly used.The second is the choice of two major markets.At present,scholars seldom study the price relationship between the futures market and the stock market,but mostly study the price relationship between the futures market and the spot market.Previous scholars have proved that rebar futures have price transmission to spot price and steel stock price.This paper will continue to study the relationship between futures and stock price. |
PDF Full Text Request