Asymmetric Impact Of Coking Coal Futures On Stock Returns In The Coal Industry

For more than 40 years of reform and opening up,coal has a special strategic position as an important energy resource of the country and an important raw material for the steel industry.In recent years,the coal industry has faced severe tests such as severe overcapacity,decreased profitability,and uneven quality.In order to survive,Promote development.Since the "Thirteenth Five-Year Plan",the supply-side reform of the coal and iron and steel industry has achieved initial results,and the overall loss of the industry has improved slightly.In the process,China’s coking coal futures provided relevant enterprises and investors with new channels for asset allocation and risk hedging,and provided impetus for the implementation of supply-side reforms.In the process of futures playing its role,investor sentiment is a transmission path that is easily overlooked.Therefore,this paper discusses and analyzes the impact of coking coal futures on the stock prices of related listed companies from an empirical perspective.Its transmission mechanism and based on a new perspective of investor sentiment make a deeper interpretation of the law of linkage between the stock market and the futures market with new entry points.After collating relevant literature,this article first sorts out related theories,starting with the formation mechanism and influencing factors of stock prices,explaining the transmission mechanism of futures prices affecting stock prices,and analyzing how investor sentiment is in the process The intermediary effect is played,and then based on the data of coking coal futures,related listed company stock prices,and individual investor sentiment,the BEKK-GARCH model is used to test the dynamic spillover effects of the above three listed companies,and to screen among them The 17 listed companies with three significant dynamic spillover effects were tested for the mediating effect of investor sentiment,and the laws of investor mediating effect of listed companies with different characteristics in different periods were studied.Finally,the research results were conducted.Summarize and give the corresponding outlook and policy recommendations.Through empirical tests,this article proves that coking coal futures does have a volatility spillover on the return of stock prices of listed companies in some coking coal sectors.Investor sentiment is one of the channels for this volatility spillover to be conducted.It is found that this intermediary effect is related to the market situation: when the market is in a bull market,because the rising investor sentiment is often more sensitive to the company’s fundamental information,the intermediary effect of investor sentiment is more significant,and the market is in a bear market.At this stage,the sluggish investor sentiment caused investors to ignore the fundamentals of the company’s operations and lacked confidence in the entire stock market,making this investor sentiment lose its intermediary effect.