关键词: 价格发现, 保证金比例, 信息份额方法, 钢材期货市场, 钢材电子交易市场

Abstract: In recent years, China's steel prices often fluctuate violently. Shanghai Futures Exchange (SHFE) controls the price volatility risk by means of adjusting steel futures margin level. In Nov 29, 2010, SHFE increased the steel futures margin level from 8% to 12%, while decreased the margin level from 8% to 7% in May 2, 2012. Do these adjustment measures influence the price discovery of Chinese steel markets? The study of the effects of adjusting futures margin level on the steel price discovery is of great concern for researchers and market traders. Most previous studies have analyzed the price discovery of Chinese steel spot and futures market. However, steel traders nowadays can also trade in steel electronic market. Which market contributes more to the process of uncovering steel's full information or permanent value? Does their information contributions vary before and after the adjusting of steel futures margin level? Transaction costs are higher (lower) in the futures markets after the margin level increases (decreases). Given that the magnitude of the transaction costs determines whether a trader can profitably trade on a given piece of information, the adjustment of futures margin level should influence the price discovery of steel futures markets. Consequently, the steel price discovery process should be changed dynamically. The standard methodology to analyze price discovery is to estimate an vector error correction model. Applying this methodology to data on three steel markets are rare. The present paper contributes to this line of research. Steel futures price, steel electronic price and spot price over the period July 1^st 2010-April 29^th 2011 and June 7^th 2011-March 21^st 2013 are employed to analyze questions of price discovery of the three steel markets. Information share (IS) method based on three-dimension vector error correction model is used. Our results can be summaried as follows. The price discovery of steel futures market are enhanced by increasing of margin level whereas weakened by decreasing of margin level. Steel electronic market dominates the price discovery process when steel price flutuates violently. The dynamic of the price discovery of steel electronic market is different when futures margin level changes. This finding underpins the importance of taking the price discovery of steel electronic market explicitly into account. Important implications are provided in our results for the application of IS method to three commodity markets, and for the establishment of futures margin level in order to enhance the price discovery of Chinese steel futures market as well.

Key words: price discovery, futures margin level, information share method, steel futures market, steel electronic market