上海期铜定价的实证检验  

Empirical test of Shanghai Copper futures pricing

作　　者：刘海龙[1] 黄伟[1] 

机构地区：[1]上海交通大学安泰经济与管理学院,上海200052

出　　处：《管理科学学报》2007年第3期52-57,共6页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(70471025)

摘　　要：在考虑交易费用、存贮费用、交割费用和保证金的情况下,研究了上海期铜市场的定价问题.根据期货与现货的关系,运用无套利基本原理,给出了期货资产的定价公式.这个公式与使用经典无套利定价方法确定的无摩擦市场期货价格本质上不同的是:这个价格不是一个确定的值,而是一个区间.最后,运用这个公式对上海期铜9601至0206共78个合约进行了实证检验,检验结果表明上海期铜的实际价格落在定价区间的频率约为7.83%,而且随着时间的推移,价格落在定价区间内的频率越来越高,这标志着上海期铜市场在逐步走向成熟,市场的交易效率在不断提高.This paper considers the pricing problem of Shanghai Copper futures with frictions related to costs of transaction, storage, payments and margin. First we propose the pricing formula for futures asset： the difference of prices generated by these formula with the prices of traditional non-arbitrage pricing method under the no-frictions assumption is that the price here is a range, rather than a point. Then we test the formula with 78 contract data of Shanghai Copper futures from 9601 to 0206. The results show that the frequency for the real prices of Shanghai Copper futures falls on pricing range are 7.83 %. It is also shown that as time passes by, however, the frequencies are becoming more and more high. This indicates that Shanghai Copper futures markets are becoming more and more regulated, and the trading efficiencies of the markets are increasing.

关 键 词：期铜定价 套利 保证金 实证检验 

分 类 号：F830[经济管理—金融学] F224