铜价格周期波动及套利策略模型实证分析

发布时间：2018-03-17 05:16

本文选题：周期波动　切入点：TGARCH模型　出处：《中南大学》2012年硕士论文　论文类型：学位论文

【摘要】：随着经济的发展和人们投资意识的转变,期货投资已经成为现代人生活中的一个重要组成部分。期货市场是一个高风险高收益的投资领域,在这个领域中,投资者为了追求投资收益的最大化和投资风险的最小化,不断地探索其内在规律,寻找其有效的分析方法和工具。当今世界经济日益全球化,某个国家或地区的金融市场或多或少的要受到全球其他市场的影响,铜这一生产和消费都已经全球化了的市场更是如此。本文从宏观角度分析铜价格的周期性表现,为决策者制定宏观政策和长期投资策略提供决策依据,从微观角度深入研究上海和伦敦期货市场的价格关系,提供投资者短期套利的实证依据。由于经济周期决定了金属价格周期,金属价格周期反映了经济周期,金属价格的波动与全球生产总值(GDP)增长率的波动几乎完全同步,论文采用时间序列及傅立叶基函数拟合方法研究国际铜价格的周期问题。发现国际铜价格取决于4个相互独立的长中短经济周期,这一结果与全球经济周期变动的拟合性良好。由于不同市场上同质或相似商品的价格存在长期均衡关系,如价格偏离均衡时,套利交易可以使价格偏离迅速回归均衡。以伦敦、上海两市铜期货日收盘价格数据为基础,本文建立TGARCH模型和T-VECM模型,利用残差分析得知：利空利多消息对伦敦市场的价格冲击波动显著大于上海市场,伦敦市场的价格波动修复速度也快于上海市场,这样的市场规律是市场操作和期货监管的重要依据。实证结果显示,铜市场的周期运动和世界经济周期一致,世界经济的繁荣／衰落会带动铜价格的高涨／下跌；比较伦敦和上海两地期货市场,发现它们的价格波动方向一致,但波动幅度及波动修复强度不同。这表明两期货市场非线性相关和价格波动具有快速逆转的性质,显示铜期货套利的可能性。
[Abstract]:With the development of economy and the change of people's investment consciousness, futures investment has become an important part of modern people's life. In order to maximize investment returns and minimize investment risks, investors are constantly exploring their internal laws and effective analytical methods and tools. Nowadays, the world economy is becoming more and more globalized. The financial markets of a certain country or region are more or less affected by other global markets, especially copper, a market where production and consumption have been globalized. This paper analyzes the cyclical performance of copper prices from a macro perspective. It provides the decision basis for the policy makers to formulate macro policies and long-term investment strategies, studies the price relationship between Shanghai and London futures markets from the micro perspective, and provides the empirical basis for investors' short-term arbitrage. Because the economic cycle determines the metal price cycle, the metal price cycle reflects the economic cycle, and the fluctuation of the metal price is almost completely synchronized with the fluctuation of the growth rate of the global gross domestic product (GDP). In this paper, the time series and Fu Li's leaf basis function fitting method are used to study the periodicity of international copper price. It is found that the international copper price depends on four independent long, medium and short economic cycles, and this result fits well with the global economic cycle change. Since there is a long-term equilibrium relationship between the prices of homogeneous or similar commodities in different markets, such as when the price deviates from the equilibrium, the arbitrage trade can make the price deviate from the equilibrium rapidly. In this paper, TGARCH model and T-VECM model are established. By using residual error analysis, it is found that the price shock fluctuation of the London market is significantly larger than that of the Shanghai market, and the repair speed of the price fluctuation in the London market is also faster than that in the Shanghai market. This kind of market law is the important basis of market operation and futures supervision. The empirical results show that the cyclical movement of copper market is consistent with the world economic cycle, and the prosperity / decline of the world economy will lead to the rise / fall of copper prices. But the range of volatility and the intensity of volatility repair are different. This indicates that the two futures markets have nonlinear correlation and price volatility has the property of quick reversal, indicating the possibility of arbitrage of copper futures.
【学位授予单位】：中南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F724.5

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