分析上海期貨交易市場銅板現貨升貼水價格變動影響因素

現中國大陸銅桿壓延產業已產能過剩，競爭極端激烈的市場，嚴然為深紅海市場，銅桿壓延產業企業現已朝轉型往下游產業延伸或進行差異化策略，提升中長期競爭力，或優化產品組合、客戶組合展開專案計劃，維持加工利益。而銅板現貨升貼水價差利益佔銅桿壓延產業獲利20%，其利益的提升或維持關係企業達成獲利目標關鍵項目之一，研究上海期貨交易所(SHFE)銅板現貨升貼水價格與影響因素間的相關性，提供影響因素與SHFE 銅板升貼水價格間變動或走勢的參考，提供企業掌握降低SHFE 銅板升貼水價格波動風險，提早採取因應決策，維持企業的獲利穩定，進而累積知識管理，提升企業中長期競爭力。過去鮮少文獻針對SHFE 銅板現貨升貼水價格分析討論，因此，本研究要藉由從有關影響銅價影響因素文獻間接找出影響因素，再從專業研究資料篩選出SHFE 銅板現貨升貼水價格變動影響因素，並訪談業界專家，歸納收斂SHFE 銅板現貨升貼水價格影響因素。故本研究以此方法歸納收斂影響因素以1. 上海期貨交易所(SHFE)銅價；2. 倫敦金屬期貨交易所(LME)銅價； 3.SHFE 庫存量； 4.LME 庫存量；5.SHFE 3 個月期銅基差；6.LME 3 個月期銅基差；7.SHFE 銅價/LME 銅價價差； 8.匯率(USD/RMB)，這八項變數做為SHFE 銅板現貨升貼水價格影響因素的探討。本研究採用SPSS 方法中的相關性分析、單元回歸、多元迴歸分析來架構本研究之研究流程。透過次級資料的蒐集，來探討其八項因素與SHFE 銅板現貨升貼水價格間的關聯性，並以實務面運作解釋其相關性，最後將此關聯性作為預測SHFE 銅板現貨升貼水價格的參考。採用的數據期間係來自2008 年1 月至2018 年10 月，10 年期間以日為基礎分成2,552 期。以單元回歸的實證結果顯示，SHFE 銅板現貨升貼水價格與SHFE 3 個月期銅基差、 SHFE 銅價/LME 銅價價差、匯率(USD/RMB)，三項因素呈正相關；與SHFE 銅價、LME 銅價、SHFE 庫存量，三項因素呈負相關，與LME 庫存量、LME 3 個月期銅基差，二項因素呈無顯著相關，若以此六項呈顯著相關因素比較，又以SHFE 3 個月期銅基差來預測 SHFE 銅板現貨升貼水價格時，準確率可以達正相關52%。以多元迴歸分析發現若是以三個變數預測現貨升貼水價格，以SHFE 3 個月期銅基差、LME 3 個月期銅基差、SHFE 銅價/LME 銅價價差的組合預測力最強，其準確率可達 58.7%。若以此三項因素當中選擇一個指標時，以SHFE 3 個月期銅基差的對SHFE 現貨升貼水價格影響最強，也就是SHFE 3 個月期銅基差改變1%時，SHFE 銅板現貨升貼水價格改變0.52%。本研究成果說明了SHFE 現貨升貼水價格走勢與SHFE 3 個月期銅基差呈現高度相關性，解釋力最高，建議可做為預測SHFE 銅板現貨升貼水價格走勢的參考，協助管理階層降低經營風險。

關鍵字

銅金屬；基差； SHFE 銅板現貨升貼水價格預測；單元回歸分析；多元回歸分析

並列摘要

As at today, China’s rod manufacturing has encountered excess production capacity and cutthroat competition among the similar industrial that have resulted many companies only able to survive with lean margin or breakeven only. By struggling, copper rod manufacturers are also transforming restructuring the entire industrial directly into downstream market or apply differentiate strategies to enhance their short long term comprehensive competitiveness. Optimize the products niche concentrate expanding customer’s project plan to maintain the marginal profits. The copper plate spot premiums cost has accounted for 20% of the total copper bar rolling industry profit, and its margin increased or maintained are highly related to the company's key targets for profitability. Research on the correlation between the price and impact factors of Shanghai Futures Exchange (SHFE) copper plate spot premiums, as well provides the reference of the changes or trends between the influencing factors to the SHFE copper plate spot premiums. Enable the enterprises mitigate the risks influence by the price fluctuation taking precise timely decision-making according to the changes. Maintain the profitability of enterprises, accumulating knowledge management and enhancing the medium and long-term competitiveness of enterprises. In the past, there was little literature on the price analysis of SHFE copper plate spot premiums. Therefore, this study should find out the indirect influence factors from the literature on the factors that affecting the copper price. And then through the professional research data, screen out the spot premiums from Shanghai future copper plate trade that may be the Influencing factors of price changes, and interviewing industry experts, summed up the possible factors affecting the price of SHFE copper plate spot premiums. Therefore, this study summarizes the factors affecting convergence by 1. Shanghai Futures Exchange (SHFE) copper price; 2. London Metal Exchange (LME) copper price; 3.SHFE inventory; 4.LME inventory; 5.SHFE 3 months copper trade basis; 6.LME 3 months copper trade basis; 7.The Difference after SHFE deduct LME copper trade; 8. Exchange rate (USD/RMB), these eight variables as the factors affecting the SHFE copper plate spot premiums. In this study, the correlation analysis, unit regression and multiple regression analysis in the SPSS method were used to construct the research process of this study. Through the collection of secondary data, the relationship between the eight factors and the SHFE copper plate spot premium, explained that the result through practical application, the correlation analysis is used as the price prediction for the SHFE copper plate spot premiums. The data collecting period was from January 2008 to October 2018, and the 10-year period was divided into 2,552 periods on a daily basis. The empirical results of unit regression show that the SHFE copper plate spot premium is closely related to SHFE 3-months future copper trade basis, The Difference after SHFE deducted LME copper trade, exchange rate (USD/RMB), and these three factors are relatively correlated. With SHFE copper price, LME copper price and SHFE inventory were negatively correlated. Subsequently last two factors of LME inventory and the LME 3-months future copper trade basis are also no significantly relevant to. If the six factors were significantly correlated, SHFE 3 months future copper trade basis is identified as the best indicator to estimate the SHFE copper plate spot premiums, the accuracy rate can reach a positive correlation of 52%. Multivariate regression analysis found that if the SHFE copper plate spot premium is estimated by three variables correlated, the SHFE 3-months future copper basis trade difference, LME 3-months future copper basis trade difference The Difference after SHFE deducted LME copper price are believed to be the most impactful factors, the accuracy rate is up to 58.7%. Out of these 3 factors to use to predict the SHFE copper plate spot premium, it shows that the SHFE 3-months future copper trade basis has the most convincing effect on the SHFE copper plate spot premium price. When the SHFE 3-months future copper trade basis difference changes by 1%, the price of SHFE copper plate spot premium could changed by 0.52% The results of this study show that the SHFE copper plate spot premium trend is highly correlated with the SHFE 3-months future copper basis trading. The study suggested it can be used as a reference for estimating the price’s trend of SHFE copper plate spot premium, helping management to reduce the operating risk.