农产品期货跨品种套利分散投资组合风险研究  

Research on Cross-variety Arbitrage of Agricultural Commodity Futures to Disperse Portfolio Risk

作　　者：王珊 曾华锋[1] WANG Shan;ZENG Hua-feng(College of Economics and Management,Nanjing Forestry University,Nanjing 210037,China)

机构地区：[1]南京林业大学经济管理学院,南京210037

出　　处：《中国林业经济》2021年第4期119-123,共5页China Forestry Economics

摘　　要：现货市场价格的波动性催生了商品期货这一新市场,套利则是进一步规避期货市场中交易风险的手段。而目前受疫情影响国内外进出口贸易受阻,同时国内养殖业并未恢复到正常水平,我国农产品价格产生波动并影响期货市场。近年来农产品投资者越来越将关注点放跨品种套利上来,通过对2016-2020交易日数据进行分析处理,并与理论结果相比较得出农产品期货跨品种套利的可行性结论以及相应投资组合构建方式。进而结合农产品期货及套利的相关特点得出农产品期货跨品种套利对投资组合风险的分散作用,以期在帮助投资者获益的基础上加速价格发现的进程。Commodity futures are produced to avoid the volatility of spot market prices,and arbitrage is to further avoid the trading risks in the futures market. At present,domestic and foreign import and export trade has been blocked by the epidemic,and the domestic aquaculture industry has not returned to normal levels. The price of agricultural products in my country has fluctuated and affected the futures market.Cross-variety arbitrage is the focus of agricultural product futures trading. This article analyzed and processed the data from the trading days of 2016 to 2020 to obtain the feasibility of agricultural product futures cross-variety arbitrage and the corresponding investment portfolio construction method. Combining the relevant characteristics of agricultural product futures and arbitrage,it’s concluded that the cross-variety arbitrage of agricultural product futures can diversify the risk of investment portfolio,in order to accelerate the process of price discovery on the basis of helping investors benefit.

关 键 词：农产品期货 统计套利 跨品种 投资组合 分散风险 

分 类 号：F275[经济管理—企业管理]