Research On The Price Discovery And Hedging Of Methanol Futures In China

Methanol is an important basic industrial raw material,widely used in energy,chemicals,textiles,building materials,pesticides and other fields,occupying an important position in the national economy.In recent years,China’s methanol market has problems such as large regional price differences and drastic market price fluctuations,which have had a significant impact on the national economy.Therefore,it is of great significance to study the price discovery and hedging function of methanol futures to stabilize the methanol market price in China and protect the interests of methanol producers and consumers.This article takes China’s methanol futures as the research object,and uses the combination of theoretical analysis and empirical analysis to study the current status of the spot market development,price discovery function,and hedging ratio.First,this article analyzes the development status of China’s methanol market from a macro level,and introduces relevant basic information of methanol futures.Then,according to market distribution and regional division,this article selects the spot prices of methanol in Guangdong,Hebei,Inner Mongolia,Shandong,Shaanxi and Zhejiang provinces,as well as the methanol futures price of Zhengzhou Commodity Exchange and the spot prices of East China methanol corresponding to futures as the research objects.VAR test,Johansen cointegration test,Granger causality test,VECM test,to study the function of methanol futures price discovery of methanol spot prices in different regions.Finally,this paper further adopts the least square method of static hedging model,error correction model method and dynamic binary GARCH model to measure the spot hedging ratio of methanol hedging in different regions,and the effect of hedging through Edlington method Compare,get the optimal hedging ratio of methanol spot in each province.Based on the above research,this paper draws the following conclusions: First,since 2015,the main downstream demand area of the spot market has changed from East China to Northwest,East,and North China,which has led to the decentralization of methanol production and consumption regions and market prices Not uniform and prices fluctuate violently.Second,the price discovery function of methanol futures in different regions is different.In East China,Zhejiang,and Guangdong,spot prices have a stronger ability to guide futures prices.In Inner Mongolia,Shaanxi,and Hebei,futures prices have a stronger ability to guide spot prices.Third,according to the calculated hedging ratios of East China and the six provinces,it is found that the hedging function of methanol futures has a better effect on risk reduction in Guangdong,East China and Zhejiang,followed by Shandong and Shaanxi,followed by Inner Mongolia hedging Hedging has little effect.Fourth,this article puts forward relevant suggestions from three perspectives of enterprises,regulators and exchanges.