Research On Arbitrage And Risk Management Between Power Coal Futures And Coal Electricity Stocks

In the classic investment theory,investors use stock index futures to hedge the market risk,and the investment scope is limited to stocks and stock index futures.In recent years,the commodity futures market has developed rapidly,and a large number of commodity futures varieties have been listed one after another to meet the needs of social production and risk transfer.Investors can arbitrage between the commodity futures market and the stock market,using commodity futures to hedge the risk of stocks in the industry.This paper chooses the power coal futures and related coal and electricity stocks as the research object,constructs the arbitrage model of futures market and stock market,simulates the power coal futures and related coal and electricity stock arbitrage investment with this model,and the relevant research results are helpful to solve the relevant pricing problems in futures market and stock market,optimize the allocation of resources,improve the construction of relevant laws and regulations and publicize rational investment.At the same time,it enriches the choice of investors and portfolio theory.This paper discusses the arbitrage mechanism between futures and stocks from the aspects of futures price discovery function,influencing factors,capital flow and investors' psychological expectations,and explains the arbitrage mechanism between power coal futures and stocks of coal and electricity listed companies.Then,after econometric analysis of transaction data,the arbitrage model is obtained,and related tests,applicability and shortcomings are explained.Finally,this paper does the related risk management research combined with the content of this paper.