商品期货市场跨市套利研究  

A Study on the Cross-Market Arbitrage in Commodity Futures Market

作　　者：景楠[1] 

机构地区：[1]西安外国语大学商学院,陕西西安710128

出　　处：《西安石油大学学报（社会科学版）》2011年第5期62-69,共8页Journal of Xi’an Shiyou University:Social Science Edition

摘　　要：跨市套利是一个具有低风险、稳定而可能取得较高收益的市场套利行为。为此以最为典型的金属铜期货为例,进行跨市套利运作方式的理论和实证分析,建立具有普遍和实践意义的商品跨市套利操作模式,给出套利市场上的切入点和平仓点,以期对投资者在判定跨市套利行为是否可行及风险控制上,能获得较为科学的理论指导和具有实际意义的参考。Cross - market arbitrage is the market arbitrage behavior with lower risk, stability and possibly obtainable profits. With the typical futures of metal bronze as an example, the theoretical and empirical analyses are carried out about the operational way of arbitrage. And then the operational model of commodity arbitrage with universal and practical signifi and the open point on arbitrage market. cance has been established, and thus offering the breakthrough point Therefore, it is hooeful for investors to get scientific instruction and practical references in judging the possibility of cross - market arbitrage and its risk control.

关 键 词：套利交易 跨市套利 风险控制 升 贴水 无套利原理 

分 类 号：F832.5[经济管理—金融学]