铜期货沪伦比价趋势的影响因素

发布时间：2018-06-13 06:35

本文选题：期货市场 + 跨市套利　；参考：《上海交通大学》2015年硕士论文

【摘要】：随着中国在国际大宗商品贸易中的作用越来越显著,位于上海的上海期货交易所的国际影响力也水涨船高,金属铜的交易量目前已经处于世界第一,其交易价格也成为国际贸易定价中的重要参考价格,是伦敦金属交易所铜期货交易价格的重要补充。本文具体研究了SHFE期铜与LME期铜之间的比价。从SHFE和LME的成立背景开始,介绍了铜期货在两家交易所中的不同的形成背景和交易规则。对活跃在其之间的市场参与者的主要交易策略进行了列示,重点阐述了跨市套利的交易行为。发现两个市场之间的价格差异是这一策略执行的核心要素,因此展开这一方面的研究工作。我们从交易货币、市场需求和市场供给这三个直接影响交易价格的要素入手,采用简单的数理统计方法,以检验其与比价之间是否存在一定的联系,然后结合实际的经济逻辑加以分析,得出相关结论。本文的研究,对期铜市场的跨市套利交易,特别是SHFE和LME之间的跨市套利从实证的角度建立了一个启发性的研究框架。通过对自后金融危机直至2014年之间的比价的分析,从较长的时间范围内提供了比价变化的直观印象和内在影响因素,对人们进行跨市套利的投资有一定的帮助作用。
[Abstract]:As China's role in international commodity trade becomes more and more prominent, and the Shanghai Futures Exchange in Shanghai has increased its international influence, the trading volume of metal copper is now the world's largest. The trading price is also an important reference price in the international trade pricing and an important supplement to the copper futures trading price on the London Metal Exchange. The specific price ratio between SHFE copper and LME copper is studied in this paper. Starting from the foundation background of SHFE and LME, the paper introduces the different background and trading rules of copper futures in the two exchanges. The main trading strategies of the market participants active between them are listed, and the intermarket arbitrage trading behavior is emphasized. The price difference between the two markets is the core element of this strategy. Starting with the three factors that directly affect the transaction price, namely, the currency, the market demand and the market supply, we use a simple mathematical statistical method to test whether there is a certain connection between the transaction price and the price. Then combined with the actual economic logic to analyze, draw relevant conclusions. In this paper, an instructive framework is established for the cross-market arbitrage of futures copper market, especially between SHFE and LME. Through the analysis of the price comparison between the post-financial crisis and 2014, this paper provides the intuitive impression and the internal influencing factors of the price change in a long period of time, which is helpful for people to carry on the investment of cross-market arbitrage.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F713.35;F764.2

【相似文献】