基于套利视角的期货与现货价格关系实证研究  

An Experimental Study on the Relationship between Futures Price and Spot Price from the Perspective of Arbitrage

作　　者：高扬[1] 

机构地区：[1]北京工商大学经济学院,北京100048

出　　处：《北京工商大学学报（社会科学版）》2011年第4期46-53,共8页JOURNAL OF BEIJING TECHNOLOGY AND BUSINESS UNIVERSITY:SOCIAL SCIENCES

基　　金：国家社会科学基金项目"石油;粮食等国际大宗商品定价机制与我国对策研究"(10BGJ021);北京市教委重点项目"北京大宗商品电子交易市场体系建设研究"(SE201110011006)

摘　　要：在套利作用下期货价格与现货价格关系应符合持仓成本理论,两者在到期日应趋于一致。通过对大连商品交易所黄大豆1号2004～2011年各合约基差与无套利区间分析显示,黄大豆1号出现未利用正向套利机会的频率较高,且潜在正向套利收益值也偏高,这表明市场套利并不充分。在到期日上,基差落在无套利区间的频率较低,落在正向套利区间的频率较高且收益值较大,表明该品种到期日套利不充分,期现价格偏离大,趋同性较差。产生该现象的原因可能在于未估计的套利成本与风险,建议采取降低交割成本、调整交易制度等措施以鼓励套利操作。Through the arbitrage trading,the relationship between futures price and spot price should reflect the carrying cost.The two prices should converge on the due date of futures contract.This paper makes the analyses on basis trading of No.1 soybeans contracts in Dalian Commodity Exchange（DCE） and the non-arbitrage intervals during the period from 2004 to 2011.The result shows that the frequency is relatively high for arbitrage opportunities which have been non-exploited in No.1 soybeans trading,and the return would be also relatively high for potential arbitrage,which indicates an inadequate arbitrage in the market.On the due date,the frequency to fall into the non-arbitrage intervals is relatively low,and the frequency to fall into the arbitrage intervals is relatively high with the would-be return relatively high,which reflects an inadequate arbitrage in the said product on the due date,with more price deviation and less convergence between futures price and spot price.The reason for such phenomenon possibly lies in the unevaluated arbitrage cost and risk.It is suggested to cut down on the delivery cost and adjust the trade rules to encourage arbitrage.

关 键 词：基差 正向套利 反向套利 价格趋同 

分 类 号：F830.9[经济管理—金融学]