中国有色金属期货市场的期限结构实证研究

发布时间：2018-03-05 09:32

本文选题：有色金属期货　切入点：期限结构　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：期货价格的期限结构能够衡量不同到期期限的期货价格与现货价格之间的关系,无论是对于期货市场上的套期保值者、期货投资者还是期货市场的规则制定者来说都有着重要的指示意义。凯恩斯(1930)提出了正常现货升水理论,认为现货持有者是期货市场上的空头,面临一定的价格同风险,需要获得一定的风险溢价,所以现货价格普遍高于期货价格。Kaldor于1939年提出的存储理论进一步丰富了期限结构理论,能够解释期货市场上期货价格升水与现货价格升水并存的现象。随着期货市场品种和交易细则的不断完善,期货合约到期期限变长,相应的理论也与时俱进地发展,期限结构偏好理论指出人们根据各自的经济需求参与不同期限的期货合约买卖,导致期限结构曲线上同时出现期货升水与现货升水现象。国内外学者对不同期货市场上的农产品、工业金属、贵金属、能源等期货品种做期限结构实证研究,发现现货价格就能够很好地解释期货价格的波动,考虑了便利性收益、长期均衡价格、利率等更多变量之后,模型的拟合程度有时会更优。本文针对中国有色金属期货市场的短期特点,不考虑漂移项的作用,基于Schwartz (1997)提出的单因素模型,假设现货价格遵循向长期均衡价格回归的运动过程,建立状态空间模型,并且用卡尔曼滤波和最大似然估计方法求解。实证结果显示,中国有色金属期货市场上的铜期货合约价格呈现出明显的均值回归现象,铝期货和锌期货的期货合约不存在明显的均值回归现象。并且,对于均值回归显著的期货合约来说,近期合约的均值回归力度大于远期合约的均值回归力度。对伦敦金属期货市场上的这三种金属的距离到期日三个月的合约价格序列做类似研究,没有发现显著的均值回归现象。因此,国内有色金属期货市场期货价格与伦敦有色金属期货市场的期货价格展现出不同的期限结构特点。本文试图以中国有色金属期货市场的特殊结构和行为主体在市场中交易背后的逻辑作为出发点,用行为金融学中的处置效应理论来解释铜期货出现均值回归现象的原因。期货市场中的处置效应这一发现填补了国内相关研究的空白,也为未来学者对中国期货市场期限结构的进一步挖掘打下了基础。
[Abstract]:The term structure of futures prices can measure the relationship between futures prices with different maturities and spot prices, whether for hedgers in the futures market, Both futures investors and rule-setters in the futures market have important indicative significances.Keynes 1930) put forward the theory of normal spot increase in water, which holds that spot holders are short on the futures market and face certain price and risk. Need to obtain a certain risk premium, so the spot price is generally higher than the futures price. Kaldor put forward the storage theory in 1939 to further enrich the term structure theory. It can explain the coexistence of futures price rise and spot price rise in the futures market. With the continuous improvement of futures market varieties and trading rules, the expiration period of futures contracts becomes longer, and the corresponding theory develops with the times. Term structure preference theory indicates that people participate in futures contracts with different terms according to their respective economic needs. Both futures rise and spot rise occur on the term structure curve. Domestic and foreign scholars do empirical research on the term structure of agricultural products, industrial metals, precious metals, energy and other futures products in different futures markets. It is found that the spot price can explain the fluctuation of the futures price very well, and the fitting degree of the model is sometimes better after taking into account more variables such as convenience income, long-term equilibrium price, interest rate and so on. In view of the short-term characteristics of China's non-ferrous metal futures market and without considering the role of drift term, based on the single-factor model proposed by Schwartz 1997, this paper assumes that the spot price follows the moving process of regression to the long-term equilibrium price, and establishes the state-space model. The empirical results show that the price of copper futures contracts in China's non-ferrous metal futures market shows an obvious mean regression phenomenon. For aluminum futures and zinc futures contracts, there is no obvious mean regression phenomenon. Moreover, for futures contracts with significant average value regression, The average regression of recent contracts is stronger than that of forward contracts. A similar study has been done on the price sequence of the three metals in the London Metal Futures Market, which is three months from the maturity date. Therefore, the futures price of domestic non-ferrous metal futures market and the futures price of London non-ferrous metal futures market show different characteristics of term structure. This paper attempts to take the special structure of China's non-ferrous metal futures market and the logic behind the transaction of the actors in the market as the starting point. The theory of disposal effect in behavioral finance is used to explain the reason of average regression phenomenon in copper futures. It also lays the foundation for the future scholars to excavate the term structure of Chinese futures market.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F764.2;F724.5

【参考文献】