天然橡胶跨市场期现套利研究

发布时间：2018-01-15 18:21

本文关键词：天然橡胶跨市场期现套利研究　出处：《厦门大学》2013年硕士论文　论文类型：学位论文

【摘要】：天然橡胶具备农产品属性、工业品属性和化工属性等商品属性,还具备很强的金融属性,因此天然橡胶的价格影响因素错综复杂,市场价格波动剧烈,难以判断,给天然橡胶的投资带来了极大的挑战。本文研究了跨国际国内两个市场的天然橡胶现货和期货价差变动规律,并提出了相应的套利操作模型。利用国内期货对进口天然橡胶进行对冲套利交易看似简单,但其实涉及利用期货进行套利操作的所有形式即期现、跨期和跨市场。在分析上述几种因素对基差影响情况的同时,笔者对历史数据进行了实证分析,得出了两个市场相关度,并进一步利用格兰杰因果检验法检验了两个不同市场以及它们与基差变动之间的因果关系。结合实证分析和工作经验,笔者提出了解决套利实践难题的基差套利操作评估体系和跨市场期现结构化滚动套利模型。该模型的要点是：把控进场点与扩仓点；分档进行,每档定量；基差扩大,梯度增量；滚动操作,有序进出。为了便于理解,笔者还对模型的操作进行了举例。分析了跨市场期现结构化滚动套利模型的收益率,实际计算了例子中操作成果的内部收益率,并进一步揭示了该模型所具备的融资功能。最后笔者分析了跨市场期现结构化滚动套利模型的管理价值。这一模型中的现货买卖方面是对传统大宗贸易做法的一种颠覆,是贸易商务模式的一种创新,有利于打造企业的核心能力。
[Abstract]:Natural rubber has the attributes of agricultural products, industrial products and chemical products, as well as strong financial attributes. Therefore, the price of natural rubber is complicated and the market price fluctuates sharply. It is difficult to judge, which brings a great challenge to the investment of natural rubber. In this paper, the variation law of spot and futures spread of natural rubber across two markets at home and abroad is studied, and the corresponding arbitrage operation model is put forward. The use of domestic futures to hedge natural rubber imports may seem simple, but in fact involves the use of futures arbitrage operation of all forms of spot. Intertemporal and cross-market. In the analysis of the impact of these factors on the basis of the situation at the same time, the author of historical data empirical analysis, the two market relevance. Furthermore, Granger causality test is used to test the causality between two different markets and the variation of basis. Combined with empirical analysis and work experience. The author puts forward the basic arbitrage operation evaluation system and the current structured rolling arbitrage model for solving the problem of arbitrage practice. The main points of this model are: controlling the entry point and expanding the position point; Carry on in file, each file quantity; The base is enlarged and the gradient increment; Rolling operation, orderly entry and exit. In order to facilitate understanding, the author also gives an example of the operation of the model, analyzes the return rate of the existing structured rolling arbitrage model across the market period, and calculates the internal rate of return of the operating results in the example. Finally, the author analyzes the management value of the cross-market structured rolling arbitrage model. The spot trading aspect of this model is one of the traditional bulk trading practices. It's subversive. Is a trade business model innovation, conducive to building the core competence of enterprises.
【学位授予单位】：厦门大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F724.5;F426.72

【参考文献】