Author(s)

Zhou Xuxu, Li Tiantian

Corresponding Author

Zhou Xuxu

Abstract

After the listing of thermal coal futures, the futures market price can converge with the spot market price trend, and the price discovery function can be fully utilized, but the hedging function is weak, which cannot help coal-fired enterprises avoid the risks arising from price fluctuations in the spot market. Based on the assumption of bounded rationality, this paper analyzes whether the low efficiency of hedging in the thermal coal futures market is affected by the herd effect from the perspective of behavioral finance, and analyzes if the herd effect of the thermal coal futures is symmetrical through the bear market and bull market effect measurement results of China's thermal coal futures market. It is found that there is no obvious herding effect in the thermal coal futures market and there is no obvious herding effect in the falling and rising stages of market prices, that is, the trading behaviors of the bear market and the bull market are rational. Therefore, the lower hedging efficiency is not related to the investment behavior of futures investors.

Keywords

Thermal Coal, Futures Market, Herd Effect