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商品期货套利是指通过同一品种不同时期期货合约之间的价格差异来赚取利润。本文根据跨期套利理论,借助Eviews软件进行相关性分析、平稳性检验和协整性检验证明虽然不同时间的棉花期货合约间存在长期稳定关系,但在短期内,这种长期稳定关系会发生偏离,两个合约间的价格差会出现异常波动,我国棉花期货市场可能存在跨期套利的机会,后在此前提下,通过运用模型跨期套利证明在我国棉花期货市场中存在跨期套利机会。
Commodity futures arbitrage means making profits through price differences between futures contracts of the same breed for different periods. Based on the intertemporal arbitrage theory and the correlation analysis with Eviews software, the stationarity test and the cointegration test prove that although there are long-term and stable relations between the cotton futures contracts at different time points, the long-term stable relationship will deviate in the short run , The price difference between the two contracts will fluctuate abnormally. China’s cotton futures market may have the opportunity of intertemporal arbitrage. After this premise, cross-term arbitrage opportunities exist in China’s cotton futures market through the use of intertemporal arbitrage.