本文選題：有色金屬期貨　切入點：期限結構　出處：《復旦大學》2013年碩士論文　論文類型：學位論文

【摘要】：期貨價格的期限結構能夠衡量不同到期期限的期貨價格與現(xiàn)貨價格之間的關系,無論是對于期貨市場上的套期保值者、期貨投資者還是期貨市場的規(guī)則制定者來說都有著重要的指示意義。凱恩斯(1930)提出了正�，F(xiàn)貨升水理論,認為現(xiàn)貨持有者是期貨市場上的空頭,面臨一定的價格同風險,需要獲得一定的風險溢價,所以現(xiàn)貨價格普遍高于期貨價格。Kaldor于1939年提出的存儲理論進一步豐富了期限結構理論,能夠解釋期貨市場上期貨價格升水與現(xiàn)貨價格升水并存的現(xiàn)象。隨著期貨市場品種和交易細則的不斷完善,期貨合約到期期限變長,相應的理論也與時俱進地發(fā)展,期限結構偏好理論指出人們根據(jù)各自的經(jīng)濟需求參與不同期限的期貨合約買賣,導致期限結構曲線上同時出現(xiàn)期貨升水與現(xiàn)貨升水現(xiàn)象。國內外學者對不同期貨市場上的農產(chǎn)品、工業(yè)金屬、貴金屬、能源等期貨品種做期限結構實證研究,發(fā)現(xiàn)現(xiàn)貨價格就能夠很好地解釋期貨價格的波動,考慮了便利性收益、長期均衡價格、利率等更多變量之后,模型的擬合程度有時會更優(yōu)。 本文針對中國有色金屬期貨市場的短期特點,不考慮漂移項的作用,基于Schwartz (1997)提出的單因素模型,假設現(xiàn)貨價格遵循向長期均衡價格回歸的運動過程,建立狀態(tài)空間模型,并且用卡爾曼濾波和最大似然估計方法求解。實證結果顯示,中國有色金屬期貨市場上的銅期貨合約價格呈現(xiàn)出明顯的均值回歸現(xiàn)象,鋁期貨和鋅期貨的期貨合約不存在明顯的均值回歸現(xiàn)象。并且,對于均值回歸顯著的期貨合約來說,近期合約的均值回歸力度大于遠期合約的均值回歸力度。對倫敦金屬期貨市場上的這三種金屬的距離到期日三個月的合約價格序列做類似研究,沒有發(fā)現(xiàn)顯著的均值回歸現(xiàn)象。因此,國內有色金屬期貨市場期貨價格與倫敦有色金屬期貨市場的期貨價格展現(xiàn)出不同的期限結構特點。 本文試圖以中國有色金屬期貨市場的特殊結構和行為主體在市場中交易背后的邏輯作為出發(fā)點,用行為金融學中的處置效應理論來解釋銅期貨出現(xiàn)均值回歸現(xiàn)象的原因。期貨市場中的處置效應這一發(fā)現(xiàn)填補了國內相關研究的空白,也為未來學者對中國期貨市場期限結構的進一步挖掘打下了基礎。
[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.
【學位授予單位】：復旦大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F764.2;F724.5

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本文編號：1569674