A Study On The Risk Spillover Effect Of Coal Futures On My Country’s Coal-related Industries

Coal has an important strategic position in my country’s energy structure,and its uses involve important industries such as electric power,steelmaking,manufacturing and chemical industry.At the same time,coal price is linked to the stock indexes of coal power,steel,energy and other industries.Therefore,coal price fluctuation will have a certain impact on these industries,resulting in risk spillover,which is that the coal market will spread the risk of price fluctuation to other related industry markets.And with the successive proposals of green finance and "carbon neutrality" goals,such linkage and risk spillover will be significantly enhanced.In order to hedge against the risk of fluctuation in coal spot price,many companies and investors use coal futures for hedging.Therefore,studying the risk spillover between coal futures price and related industry stock indexes,and exploring the relationship between them will help companies and investors to identify risk in a timely manner,adjust coal futures positions or investment portfolios,and improve capability of risk management.The paper takes coal futures and seven sub-markets of electricity,steel,textile manufacturing,gas,new energy,coal mining and Hubei carbon market as the research objects to study the risk spillover effect between the coal futures market and the seven submarkets.First,the AR(1)-GARCH(1,1)-partial t model is used to fit the marginal distribution of the yield series to obtain the standardized residual series;secondly,the best one which is used to fit the joint distribution and describe the dependence between the return series is selected from the four time-varying Copula functions;finally,combined with the Co VaR method,calculate ΔCoVaR and%CoVaR,and analyze the dynamic absolute risk spillover and relative risk spillover.The empirical research results show that there is a two-way dynamic risk spillover effect between the coal futures market and my country’s coal-related industries.From the perspective of spillover direction,except that the relationship between the thermal coal futures market and the Hubei carbon market is risk absorbing,the risk spillover effect between coal futures and other related industries is positive.From the perspective of spillover size and intensity,thermal coal futures and coke futures have the largest risk spillover effect on the coal mining industry,followed by steel,new energy,electricity,gas,textile manufacturing and Hubei carbon market.And risk spillover effect between the coke futures market and coal-related industries’ stock indexes is slightly higher than the thermal coal futures.At the same time,when extreme events occur in the financial market,the spillover effect between coal futures and the stock indexes of coal-related industries will be significantly enhanced and show asymmetry.Finally,on the basis of the above research on risk spillover,the paper puts forward some feasible suggestions for risk control.