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Correlation analysis of spot price of Mysteel benchmark rebar (Ⅱ)

20 18-02-08 09:44 Source: My Steel Network Author: Ma Hongbin

Rebar period (I) The correlation analysis of spot price draws the following conclusions:

(1) spot has a high correlation coefficient of 0.954, and the trend is highly consistent (reasonable);

(2) The futures spot does not converge on the final delivery date, and the basis is at a high level (unreasonable);

(3) Spot prices in futures period influence each other, and rebar futures prices can (reasonably) predict spot prices to some extent;

(4) From the perspective of variance decomposition, the spot price of rebar leads to price formation (unreasonable).

From the above analysis, it can be seen that the spot price of rebar conforms to the theoretical logic and some does not. The reasons may be as follows:

China's futures market is immature.

◆ Start late.

China's futures market started late, less than 30 years, which is far from the 150 years in western countries.

Today, China's futures market has experienced more than 20 years of development and made remarkable achievements. Futures varieties are constantly innovating to meet the needs of investors, the turnover is constantly breaking through, and the attractiveness of the domestic market is rising again and again. However, compared with the United States, where the first futures exchange was born in the mid-Kloc-0/9th century, it is impossible to create a perfect futures market in just over 20 years.

◆ There are few varieties on the market.

At present, 52 futures varieties in China are concentrated in agricultural products, metals and other varieties, which is not enough to meet the huge demand of resource-rich countries.

Characteristics of rebar futures

According to the time to market and good operation mechanism, the author selects copper-aluminum futures as a reference, and compares some rebar futures that do not conform to economic laws. The spot prices analyzed below are all Shanghai summary prices, and the futures price is the settlement price of the main contract.

◆ Short time to market

Rebar has only been on the market for more than 8 years now, which is shorter than other varieties in the previous issue (aluminum has been on the market for 25 years and copper has been on the market for 24 years).

◆ Unreasonable basis difference

Theoretically, the basis should mostly be less than 0. The probability of rebar basis difference of 3 1.3% is less than 0, which does not conform to the holding cost theory. The probability of copper basis difference of 40% is less than 0, which is more in line with the holding cost theory, and the probability of aluminum basis difference of 6 1.3% is less than 0, which is basically in line with the holding cost theory.

◆ Speculation is obvious.

According to the data of Shanghai Futures Exchange, as of June 28th, 20 1 17, the price limit of rebar was 16, 20 16, 2010-20 respectively. Fund speculation is prominent.

◆ The participation in hedging transactions in the futures market is too low.

Rebar futures was listed in China in March 2009. After eight years of development, delivery is still not perfect, and spot enterprises are not active enough to participate in the futures market. 20 17, 1- 10, the delivery volume was 10890 lots, compared with 14970 lots in the same period last year, a decrease of 27.3%. 20 17, 1- 10, the average rebar futures price is 3406 yuan/ton, compared with 22 14 yuan/ton in the same period last year. The price is higher than last year, but the delivery volume is small, indicating that the seller is reluctant to sell.

Characteristics of spot market of rebar

◆ Traditional sales model

Because there are relatively fixed production enterprises in the rebar market, the downstream demand is relatively mobile, especially some projects are paid according to the construction progress, which conflicts with the requirements of steel mills for payment and delivery. It is decided that the rebar marketing of steel enterprises is mainly based on multi-level agent distribution, supplemented by direct supply. This sales model not only increases the cost of logistics and warehousing, but also greatly increases the cost of buyers. Moreover, rebar will cause asymmetric market information in layer-by-layer circulation, and steel mills can't meet the market well.

◆ Steel mills are in a relatively strong position.