An Empirical Study On Coal Futures Convenience Yields

Coal futures is an important part of the energy futures market.The coal futures market in China started relatively late,the trading volume of futures contracts is relatively stable,the development is more rapid,and the status of the energy futures market is gradually improved.According to statistics,in the first half of 2017,the volume of the coal futures contract of Zhengzhou exchange was about 12 million 945 thousand hands.The daily average holding capacity of steam coal futures reached 184 thousand and 100,compared with that in 2016,it increased by 49.39%.Nevertheless,coal futures are not highly concerned,and trading activity is significantly lower than other energy derived contracts.The convenience yield of coal futures is an important factor affecting the pricing of coal futures.The characteristics of volatility not only affect the coal spot and coal futures prices,but also link the spot and futures prices with the stock theory and the interest rate level.Therefore,the study of the coal futures convenient return on the pricing of coal charcoal futures and other energy derivatives is studied.The change of price is of great significance.Convenience yield is an important factor affecting the pricing of coal futures,and also a major cause of the phenomenon of coal spot premium.This paper makes a statistical analysis of the 2013-2017 years' coal yield of six different maturities of the coal futures contract on the Zhengzhou Mercantile Exchange,and makes a relevant empirical test based on the theoretical study of the convenience income.Starting from the theory of storage,this paper expounds the influencing factors of the coal's convenience income and the nature of the option in the pricing process.In the empirical part,combined with relevant domestic and foreign literature research methods,the paper calculates the coal futures convenience income of Zhengzhou commodity exchange.Through the basic statistical characteristics of the data obtained:the study of coal futures convenience income sequence does not obey the Gauss normal distribution;the coal convenience income sequence has long-term memory and strong correlation.Based on the characteristics of the data,this paper constructs a model of the driving factor of coal's convenience income,and analyzes the factors that affect the coal's convenience income.In the empirical analysis,the option price of coal is proved by exchange option pricing.The article also obtains ARFIMA-EGARCH model can better eliminate the data fluctuation,clustering effect and autocorrelation,and test the leverage effect of the coal convenience income series.The research shows that in a coal market,a negative price shock is more significant than a positive price shock,and the inventory theory is invalid.The author believes that this situation is due to the insufficient market for coal futures trial market and the increase of speculation in the market.