基于协整的期货跨品种套利研究——以黑色系期货为例  

Research on Arbitrage of Cross-Variety Based on Cointegration——Take black futures as an example

作　　者：周亮[1] 

机构地区：[1]湖南财政经济学院

出　　处：《价格理论与实践》2017年第4期112-115,共4页Price:Theory & Practice

基　　金：湖南财政经济学院青年教师科研基金项目(Q201408);国家社科基金项目(13BJL039)

摘　　要：本文选取2014年1月至2016年11月的铁矿石、螺纹钢及焦炭期货的所有主力合约数据,首先通过协整检验发现,螺纹钢与铁矿石两者之间及螺纹钢、铁矿石与焦炭三者之间的存在长期较稳定的协整关系;再根据Jarque-Bera统计量分析发现,对螺纹钢、铁矿石及焦炭三者之间进行套利的效果最佳;再通过阈值测算,发现当开仓阈值为1时,套利交易的期望收益率最大。对样本内外的数据进行套利测试,结果发现样本内获得了32.18%的年化收益率、样本外获得了26.62%的年化收益率,均较为不错。This paper chooses all the main contract data of iron ore, rebar and coke futures from January 1, 2014 to November 12, 2016. Through the cointegration test, it is found that between rebar and iron ore, and rebar, iron ore and coke have long-term good cointegration relationship; and then according to Jarque-Bera statistical analysis found that the rebar, iron ore and coke will reach the best results in arbitrage; and then through the threshold calculation, this paper found that when the opening threshold is 1, arbitrage transactions the expected rate of return the most. The arbitrage test of the data inside and outside the sample shows that the annual yield of 32.18% is obtained in the sample, and the annual yield of 26.62% is obtained.

关 键 词：黑色系期货 跨品种套利 铁矿石 螺纹钢 焦炭 

分 类 号：F724.5[经济管理—产业经济] F764