上海期铜与伦敦期铜的跨市套利及其实证检验被引量：13

An Empirical Analysais on the Intermarket Spreads between Shanghai Futures Exchange and London Metal Exchange Copper Futures

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摘要从实物交割的角度出发,运用无套利原理,给出了买伦敦期铜卖上海期铜的无套利条件,并对1995-05～2002-06买伦敦3月期铜卖上海3月期铜进行了实证检验,检验结果表明:1套利机会集中在夏季;2由于伦敦期货经纪公司对中国内地众多投资者征收歧视性的30%保证金,导致跨市套利机会大为减少;3包括商检费、进港费、代办费、放箱费和市内运输费等在内的固定成本对套利有较大影响;4中国期铜市场逐步走向成熟,市场的交易效率在不断提高。 In this paper, based on the physical delivery, non-arbitrage conditions for intermarket spreads between SHFE and LME copper futures are introduced. Using these conditions, the results of empirical analysis on buying LME and selling SHFE 3-months copper futures for the period 1995 05～2002-06 shows that ① spread opportunities concentrated on the summer; ② 30% discriminatory trading margin for Chinese investors in LME in duced the decrease in spreads opportunities; ③ fixed costs had an evident effect on spreads; ④ SHFE's cooper future market is gradually matured, and that trading efficiency increased.

作者邹炎刘海龙吴冲锋

机构地区上海交通大学金融工程研究中心

出处《系统工程理论方法应用》 2004年第2期142-146,共5页 Systems Engineering Theory·Methodology·Applications

关键词套利期铜上海期货交易所伦敦金属交易所期货市场 spreads copper futures Shanghai futures exchange London metal exchange

分类号 F830.9 [经济管理—金融学]

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