Research On Price Discovery Function Measurement Of Coal Futures Market

As an important part of the coal market,the price level of China’s steam coal futures often changes dynamically which affected by the internal structure and external environment.The contribution degree of coal futures price discovery refers to the accuracy of coal futures price reflecting its true value,and which is an important indicator to measure the price level of coal futures.This paper attempts to excavate its time-varying results to realize its "point" and "line"estimates based on the static research of steam coal futures price discovery efficiency,and then finds the changing characteristics and differences in the process of steam coal futures price discovery through horizontal and vertical comparison,and studies deeply the impact of the implementation of the de-capacity and de-stocking policy on the development of the coal futures market.Measurement and analyzation the coal futures price discovery function will help to reveal the process of price discovery and manage volatility risk in China’s steam coal futures market.In this paper,we selected the six-year price data of steam coal futures and spot market in North China(Qinhuangdao,Shanxi,Inner Mongolia)and East China(Shandong,Jiangsu,Anhui).And the same time,we compared and analyzed the price discovery contribution of China’s steam coal futures to spot in North China and East China by the linkage models,static price discovery measurement models and dynamic price discovery measurement models.Based on the above analysis,the following conclusions are drawn:(1)Long-term equilibrium between the steam coal futures and spot prices in various regions,but with longer adjustment times;Compared with the impact of the spot market,the impact of the steam coal futures on the spot market is more significant and sustained.(2)The price discovery capability of the steam coal futures market far exceeds that of the spot market,and its contribution to coal price discovery in North China is greater than that in East China.(3)The contribution degree of the steam coal futures to spot prices shows an "increasing" trend with lagging growth;Compared with northern China,the contribution rate of prices discovery of steam coal futures to that of spot have a greater fluctuation in eastern China.(4)As a whole,the price discovery efficiency of the steam coal futures is significantly affected by the policy effect of de-capacity and de-stocking,and the policy effect for the east China region is stronger than the policy effect for the north China region,and related policy recommendations were put forward.To a certain extent,it could provide an evaluation basis for the operation effect of China’s steam coal futures,and make hedging and risk management strategies more scientific and effective.At the same time,it has certain guiding significance for the development,improvement and function of China’s coal futures market.