The Correlationship Between Coking Coal&Coke Futures Prices And Steel Stock Price

With the deepening of the structural reform of the supply side of the steel industry and the coal industry,the efficiency of steel and coal enterprises to optimize production capacity and product structure has been highlighted.However,the deep-seated problems in the process of structural reforms by iron and steel enterprises and coal enterprises are also obvious.The overall performance is that further improvement and improvement of industrial concentration are still needed.As the stock market and the futures market are the “two legs” of the parallel development of the financial capital market,the coking coal coke futures market and steel are studied from the perspective of achieving and realizing the efficiency improvement and further deepening the structural reform of the steel and coal supply side.The relationship between the stock market and the issue of solving the problem of further improving the market operation efficiency and production supply level of steel and coal enterprises is extremely urgent.This paper selects the coking coal coke futures price and the steel plate stock price as the research object.Firstly,it discusses the relevance of futures price and stock price theory,market overview and the linkage between the two market prices.Secondly,using the classic EG cointegration test,The static analysis of the coking coal coke futures and the steel sector stocks;finally,based on the coking coal coke futures yield and the steel plate stock price return rate GARCH(1,1)model,the DCC-GARCH model was constructed to dynamically correlate the correlation between them.analysis.As for the measurement results,although the coking coal coke futures have certain correlation with the steel sector stocks,the correlation coefficient fluctuates greatly and has weakened in recent years,indicating that the current degree of correlation is alienated and the market effectiveness is weakened.Based on these empirical results,this paper puts forward some suggestions to the government,enterprises and investors from the current macroeconomic reality.