期权对我国豆粕市场期现无套利区间的影响  

The Impact of Options on the Arbitrage-free Interval of Soybean Meal Futures Market in China

作　　者：陈新华[1] 刘洁[1] CHEN Xin-hua;LIU Jie(Zhongkai University of Agriculture and Engineering,Guangzhou Guangdong 510225,China)

机构地区：[1]仲恺农业工程学院,广东广州510225

出　　处：《萍乡学院学报》2021年第4期40-42,43-46,共7页Journal of Pingxiang University

基　　金：教育部人文社会科学研究青年基金项目(18YJC630097)。

摘　　要：文章基于大连商品交易所和wind等数据库2014—2018年豆粕市场的价格数据,利用三阶段门限自回归模型和合成控制法分析了豆粕期权上市对于豆粕期现无套利区间的影响。研究结果显示:首先,我国豆粕期现无套利区间较宽且随季节性变化明显,套期保值的基差风险较大;其次,豆粕期权上市后我国豆粕期现无套利区间趋于缩小;最后,期权对于不同流动性期货合约期现无套利区间产生的影响存在差异,活跃性较小的合约受到的影响更为显著。Based on the price data of soybean meal market from 2014 to 2018,such as Dalian Commodity Exchange and wind database,the paper analyzes the impact of soybean meal option listing on the arbitrage-free interval of soybean meal market by using three-stage threshold regression model and composite control method.The results show that:firstly,the arbitrage-free interval in the soybean meal futures market in China is wide,changing obviously with seasons,and the basis risk of hedging is large;secondly,the arbitrage-free interval in the soybean meal futures market tends to narrow after the soybean meal options are listed;finally,options have different effects on the arbitrage-free interval in different liquidity futures contracts,more visible influence on the contracts with less activity.

关 键 词：无套利区间 门限回归 合成控制法 期权 

分 类 号：F323.7[经济管理—产业经济]