The Research Of Market Efficiency Among Chinese Coking Coal Futures, Coke Futures And Rebar Futures

The high speed development of economy will be inevitably with the increasing of the construction of the facilities, coal and steel as the important energy and raw materials have a special strategic position in the process. With the deepening of economic globalization and integration, international degree of coal and steel market financialization have also been further strengthened. On coking coal, coke and rebar which are the three core products of " coal-coke-steel" industry chain, China is one of the world’s largest producer and consumer, also is one of the largest importer and exporter in the world.In recent years, China’s steel industry was influenced by capital cost, demand and other various factors such as policy, market price volatility.Because our country has no corresponding hedging tools and place, in the case of price volatility, our related industry producers and traders suffered huge economic losses.The futures market in our country started very late compared with foreign developed countries, but in recent years the futures market was in a high-speed development period.The rapid development of China’s futures market is mainly show in the following three aspects:First, the futures varieties increased, enhanced the service function of the real economy.Futures varieties from the initial agricultural products futures in our country, to now zhengzhou, Shanghai and dalian Commodity Exchange respectively covers agricultural futures, metal futures, energy chemical industry and other industries areas, a growing number of futures varieties of investment of the real economy provides effective tools;The second is new futures varieties listed speed is increasing.From 2008 to 2012, China’s futures market just had only 13 new listed futures varieties, but only in 2013, three commodity exchange had been listed out coking coal, steam coal, iron ore, oil, asphalt, eggs, japonica, fiberboard, plywood, a total of eight varieties of commodity futures. Three is the interconnectedness of futures varieties on the rise, gradually to cover is closely related to the real economy.As coking coal futures launched before the launch of steel futures with coke futures, "coal-coke-steel" industry chain of each main part to form the corresponding futures varieties, namely in the futures market, also build the futures varieties of industry chain.And build a complete industry chain each link of the futures varieties, "coai-coke-steel" industry chain on a global scale is the first time.Futures market development experience of other countries for reference, only mature and effective commodity futures market, to spread risk, stability of the spot market, the price discovery and hedging, play a role of pricing power, etc.Although our country " coal-coke-steel" industry chain in the launch of more than two years to do well, the price on the international influence, but this kind of efficiency of the futures market is still there may be a problem, research on the effectiveness of the futures market is imminent.This paper first introduces the basic theory of market efficiency and capital of steel industry in China’s spot and futures market development situation, and then by adopting the STR model, for coking coal futures, futures and rebar futures price correlation research, and the nonlinear effects are analyzed and explained.According to the empirical analysis conclusion, industrial chain of coal tar based steel futures investment put forward constructive Suggestions, to provide reference for regulators to further standardize perfect futures market, to adopt the market for macroeconomic regulation measures to provide guidance.In addition, by verifying steel futures industry chain reflects the capital market efficiency, for our country to build unique to other industries provides Suggestions for the development of the industry chain futures varieties.