本文關(guān)鍵詞：天然橡膠跨市場期現(xiàn)套利研究　出處：《廈門大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 天然橡膠 結(jié)構(gòu)化滾動(dòng) 套利模型

【摘要】：天然橡膠具備農(nóng)產(chǎn)品屬性、工業(yè)品屬性和化工屬性等商品屬性,還具備很強(qiáng)的金融屬性,因此天然橡膠的價(jià)格影響因素錯(cuò)綜復(fù)雜,市場價(jià)格波動(dòng)劇烈,難以判斷,給天然橡膠的投資帶來了極大的挑戰(zhàn)。本文研究了跨國際國內(nèi)兩個(gè)市場的天然橡膠現(xiàn)貨和期貨價(jià)差變動(dòng)規(guī)律,并提出了相應(yīng)的套利操作模型。 利用國內(nèi)期貨對進(jìn)口天然橡膠進(jìn)行對沖套利交易看似簡單,但其實(shí)涉及利用期貨進(jìn)行套利操作的所有形式即期現(xiàn)、跨期和跨市場。在分析上述幾種因素對基差影響情況的同時(shí),筆者對歷史數(shù)據(jù)進(jìn)行了實(shí)證分析,得出了兩個(gè)市場相關(guān)度,并進(jìn)一步利用格蘭杰因果檢驗(yàn)法檢驗(yàn)了兩個(gè)不同市場以及它們與基差變動(dòng)之間的因果關(guān)系。 結(jié)合實(shí)證分析和工作經(jīng)驗(yàn),筆者提出了解決套利實(shí)踐難題的基差套利操作評估體系和跨市場期現(xiàn)結(jié)構(gòu)化滾動(dòng)套利模型。該模型的要點(diǎn)是：把控進(jìn)場點(diǎn)與擴(kuò)倉點(diǎn)；分檔進(jìn)行,每檔定量；基差擴(kuò)大,梯度增量；滾動(dòng)操作,有序進(jìn)出。 為了便于理解,筆者還對模型的操作進(jìn)行了舉例。分析了跨市場期現(xiàn)結(jié)構(gòu)化滾動(dòng)套利模型的收益率,實(shí)際計(jì)算了例子中操作成果的內(nèi)部收益率,并進(jìn)一步揭示了該模型所具備的融資功能。最后筆者分析了跨市場期現(xiàn)結(jié)構(gòu)化滾動(dòng)套利模型的管理價(jià)值。這一模型中的現(xiàn)貨買賣方面是對傳統(tǒng)大宗貿(mào)易做法的一種顛覆,是貿(mào)易商務(wù)模式的一種創(chuàng)新,有利于打造企業(yè)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.
【學(xué)位授予單位】：廈門大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F724.5;F426.72

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本文編號：1429522