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An Empirical Studyof Cokefuturesmarket Efficiency

Author: HouYunZhe
Tutor: LiXiang
School: Dongbei University of Finance
Course: Finance
Keywords: coke futures market efficiency empirical study
CLC: F724.5
Type: Master's thesis
Year: 2013
Downloads: 1
Quote: 0
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This study is based on the development of china’s futures market. With the increasing variety of futures market, the gradual development of futures market reflect the following two aspects:the first is the function which serve the real economy is increasing, the second is the futures is gradually cover the closely related real economy, for example, the increase in the scope of metals futures and other futures. The coke futures well reflected the above aspects. First, it can provide a new means of investing to the coke industry which is overcapacity and price volatility. Second, combined with rebar futures and coking coal futures, all aspects of the coal and steel industry chain have their own futures. As we can say, in futures market, we build a futures chain. It is start from china.Coke is the intermediate links of coking coal and steel, so the coke futures has a very important status. This paper aims to research the coke futures market efficiency, provide some advice on investment, regulate and develop the market, and provide guidance for market-based instruments for macroeconomic. By researching the relationship between coke futures and related futures, provide advice for building our unique industry chain.Based on the above analysis, this paper select the coke futures to study. In this paper, we do the research from theoretical analysis and empirical analysis.In theoretical analysis, we study the factors which affect the coke futures market efficiency. First, starting from the futures contact, combined with the the difference of other futures, study the efficiency of the coke futures. Second, study the market system design, like trading rule to analyze the efficiency of the coke futures.In empirical analysis, we see the coke futures as a separate species, to study its market efficiency,by verifying its ability of price discovery and risk aversion. This part have two aspects. First, by using GARCH family models for coke futures price series, building regression equation and information impact curve to verifying the risk aversion function. Second, using unit root test and cointegration for coke and coke futures price series to build the error correction model, to verifying the price discovery function. On the other hand, we study the linkage with rebar and coking coal futures to verifying the efficiency of coke market. In this part, we describe the basic characters of these three futures, including price volatility and linear relationship, do the granger causality test. Finally, we find it has no good linkage affect and analyze the possible reasons. By using generalized impulse response function, we verify the above analysis.Based on the theoretical analysis and empirical analysis, we can say the coke futures have good market efficiency in price discovery and risk aversion, but have a bad linkage with rebar and coking coal futures which weaken the market efficiency.At last, this paper provide some advice about vesting the coke futures, policy recommendations for developing the futures market and discuss the feasibility for using coke futures to control the real economy and macroeconomics.

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CLC: > Economic > Trade and Economic > China's domestic trade and economic > Circulation of commodities > Futures Trading
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