大连商品交易所大豆与豆粕期货价格之间的套利研究

Spread Arbitrage between Soybean Futures Prices and Soybean Meal Futures Prices of Dalian Commodity Exchange

本文对大连商品交易所大豆与豆粕期货价格之间的动态关系及套利交易进行了研究,研究结果表明,大豆与豆粕期货价格之间存在长期均衡关系,二个品种期货价格之间相互影响、相互作用。而样本内套利交易的模拟结果显示,无论是否考虑交易费用,多头套利交易的平均利润均大于零,且在统计上显著:而空头套利交易以及所有套利交易的平均利润虽然也大于零,但在统计上并不显著;而从样本外模拟结果来看,套利交易的平均利润并不显著。总体而言,大连商品交易所大豆与豆粕期货价格之间套利交易的赢利能力并不明显。

This paper analyzes the relationship and spread arbitrage between soybean futures prices and soybean meal futures prices of Dalian Commodity Exchange （DCE）. The results show that soybean futures prices and soybean meal futures prices are cointegrated, and there is a feedback between them. The in-sample trading-role simulations suggest that the average profit of long position of spread is greater than zero and statistically significant, whether the transaction costs are considered or not. While the average profit of short position or overall position of spread is not significantly different from zero. The out-of-sample trading-rule simulations indicate that the average profit of spread arbitrage is nonprofit. Generally speaking, the profitability of spread arbitrage between soybean futures prices and soybean meal futures prices of DCE is not obvious.