本文選題：有色金屬期貨　切入點(diǎn)：期限結(jié)構(gòu)　出處：《復(fù)旦大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：期貨價(jià)格的期限結(jié)構(gòu)能夠衡量不同到期期限的期貨價(jià)格與現(xiàn)貨價(jià)格之間的關(guān)系,無(wú)論是對(duì)于期貨市場(chǎng)上的套期保值者、期貨投資者還是期貨市場(chǎng)的規(guī)則制定者來(lái)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(rèn)為現(xiàn)貨持有者是期貨市場(chǎng)上的空頭,面臨一定的價(jià)格同風(fēng)險(xiǎn),需要獲得一定的風(fēng)險(xiǎn)溢價(jià),所以現(xiàn)貨價(jià)格普遍高于期貨價(jià)格。Kaldor于1939年提出的存儲(chǔ)理論進(jìn)一步豐富了期限結(jié)構(gòu)理論,能夠解釋期貨市場(chǎng)上期貨價(jià)格升水與現(xiàn)貨價(jià)格升水并存的現(xiàn)象。隨著期貨市場(chǎng)品種和交易細(xì)則的不斷完善,期貨合約到期期限變長(zhǎng),相應(yīng)的理論也與時(shí)俱進(jìn)地發(fā)展,期限結(jié)構(gòu)偏好理論指出人們根據(jù)各自的經(jīng)濟(jì)需求參與不同期限的期貨合約買賣,導(dǎo)致期限結(jié)構(gòu)曲線上同時(shí)出現(xiàn)期貨升水與現(xiàn)貨升水現(xiàn)象。國(guó)內(nèi)外學(xué)者對(duì)不同期貨市場(chǎng)上的農(nóng)產(chǎn)品、工業(yè)金屬、貴金屬、能源等期貨品種做期限結(jié)構(gòu)實(shí)證研究,發(fā)現(xiàn)現(xiàn)貨價(jià)格就能夠很好地解釋期貨價(jià)格的波動(dòng),考慮了便利性收益、長(zhǎng)期均衡價(jià)格、利率等更多變量之后,模型的擬合程度有時(shí)會(huì)更優(yōu)。 本文針對(duì)中國(guó)有色金屬期貨市場(chǎng)的短期特點(diǎn),不考慮漂移項(xiàng)的作用,基于Schwartz (1997)提出的單因素模型,假設(shè)現(xiàn)貨價(jià)格遵循向長(zhǎng)期均衡價(jià)格回歸的運(yùn)動(dòng)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(jì)方法求解。實(shí)證結(jié)果顯示,中國(guó)有色金屬期貨市場(chǎng)上的銅期貨合約價(jià)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(duì)于均值回歸顯著的期貨合約來(lái)說,近期合約的均值回歸力度大于遠(yuǎn)期合約的均值回歸力度。對(duì)倫敦金屬期貨市場(chǎng)上的這三種金屬的距離到期日三個(gè)月的合約價(jià)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(guó)內(nèi)有色金屬期貨市場(chǎng)期貨價(jià)格與倫敦有色金屬期貨市場(chǎng)的期貨價(jià)格展現(xiàn)出不同的期限結(jié)構(gòu)特點(diǎn)。 本文試圖以中國(guó)有色金屬期貨市場(chǎng)的特殊結(jié)構(gòu)和行為主體在市場(chǎng)中交易背后的邏輯作為出發(fā)點(diǎn),用行為金融學(xué)中的處置效應(yīng)理論來(lái)解釋銅期貨出現(xiàn)均值回歸現(xiàn)象的原因。期貨市場(chǎng)中的處置效應(yīng)這一發(fā)現(xiàn)填補(bǔ)了國(guó)內(nèi)相關(guān)研究的空白,也為未來(lái)學(xué)者對(duì)中國(guó)期貨市場(chǎng)期限結(jié)構(gòu)的進(jìn)一步挖掘打下了基礎(chǔ)。
[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(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F764.2;F724.5

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