Research On The Relationship Between The Thermal Coal Futures Market And The Stock Market Of Listed Thermal Coal Companies

As a large energy and industrial country,China is the main force of coal production and consumption in the world.Power coal is a kind of coal with the purpose of generating power.It is one of the most important energy commodities in China.It occupies a very important position in the field of production activities and economic development in China.However,the energy enterprises in China are all state-owned enterprises,and the price of power coal is also predicted and regulated by the state according to the market situation,so it can be said that both producers and consumers are receivers of the price of power coal.This also further affects the enterprise value and stock market value of power coal related enterprises.The most important function of futures is price discovery.The listing of power coal futures on September 26,2013 not only provides the pricing basis for the spot market,but also has an important impact on the capital market.Based on the above background,this paper analyzes the correlation between the power coal futures market and the stock market of the listed companies in the upstrea m production of power coal,which can regulate the production of power coal related enterprises and make the enterprise value greater.At the same time,it has some reference value for investors to make investment decisions and for regulators to supervise the power coal futures market and stock market.It also provides a theoretical basis for resolving the risks in the financial market.This paper analyzes the spillover effect and linkage effect.Based on the daily data of the price of power coal futures from February 11,2014 to February 11,2020 and the stock prices of 33 power coal upstream production listed companies,the weighted index return series of power coal futures and power coal listed companies are obtained after data processing.Through the VAR model of the return series of the two markets,the paper studies the mean spillover effect of the stock market of the power coal futures and the power coal listed companies.Using Granger causality test,it is concluded that the power coal futures market is the one-way Granger cause of the stock market of the listed companies in the upstream production of power coal.Through impulse response,variance decomposition and other methods,it is concluded that the power coal futures market has a positive mean spillover effect on the stock market of Listed Companies in the upstream production of power coal;however,the transmission between the power coal futures and the power coal stock market is not completely smooth,especially the response of the power coal futures market to the power coal stock market is not sharp enough.The dcc-garch model is established to test the linkage effect of power coal futures on the stock market of Listed Companies in the upstream production of power coal.The results show that the linkage between the power coal futures market and the stock market of the listed companies in the upstream of the power coal industry is relatively close,and the linkage relationship is time-varying.