【摘要】：本文選取2014年1月至2016年11月的鐵礦石、螺紋鋼及焦炭期貨的所有主力合約數(shù)據(jù),首先通過(guò)協(xié)整檢驗(yàn)發(fā)現(xiàn),螺紋鋼與鐵礦石兩者之間及螺紋鋼、鐵礦石與焦炭三者之間的存在長(zhǎng)期較穩(wěn)定的協(xié)整關(guān)系;再根據(jù)Jarque-Bera統(tǒng)計(jì)量分析發(fā)現(xiàn),對(duì)螺紋鋼、鐵礦石及焦炭三者之間進(jìn)行套利的效果最佳;再通過(guò)閾值測(cè)算,發(fā)現(xiàn)當(dāng)開倉(cāng)閾值為1時(shí),套利交易的期望收益率最大。對(duì)樣本內(nèi)外的數(shù)據(jù)進(jìn)行套利測(cè)試,結(jié)果發(fā)現(xiàn)樣本內(nèi)獲得了32.18%的年化收益率、樣本外獲得了26.62%的年化收益率,均較為不錯(cuò)。
[Abstract]:This paper selects all the main contract data of iron ore, rebar and coke futures from January 2014 to November 2016. There is a long-term stable cointegration relationship between iron ore and coke. According to Jarque-Bera statistical analysis, it is found that arbitrage between rebar, iron ore and coke is the best. It is found that when the opening threshold is 1, the expected return of arbitrage trade is the highest. The results of arbitrage test show that the annual rate of return is 32.18% in the sample and 26.62% in the sample, which is quite good.
【作者單位】： 湖南財(cái)政經(jīng)濟(jì)學(xué)院;
【基金】：湖南財(cái)政經(jīng)濟(jì)學(xué)院青年教師科研基金項(xiàng)目(Q201408) 國(guó)家社科基金項(xiàng)目(13BJL039)
【分類號(hào)】：F724.5;F764
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本文編號(hào)：2236517