保证金制度、跨市套利和沪铜主力合约的迁徙行为

Margin requirements,inter-market arbitrage and drift of the dominant contract of SHFE copper futures

为了解释沪铜主力合约从2003年10月开始所发生奇特的迁徙现象,采用非参检验、格兰杰引导关系检验和协整关系检验等方法,从保证金制度和跨市套利者的交易行为角度进行了解释.主要结论有:1)上海期货交易所的保证金提高制度在一定程度上可解释沪铜主力合约的迁徙现象;2)国内套利者在伦铜和沪铜两个市场的套利行为可能是沪铜主力合约奇特迁徙现象的重要原因;3)上述跨市套利是有限套利,投资者的有限理性与市场制度的不完善是其产生的原因.

In order to explain the strange drift of the location of the dominant contract of SI-IFE copper futures since Oct 2003, this paper adopts the means of nonparametric tests, Granger causality tests, and co-integration tests, to explain the phenomenon in view of margin requirements raise and inter-market arbitrageurs activities between SI-IFE and LME. It is found that the nuargin requirement could partly explain the drift behaviors. Inter-market arbitrage between SHFE and LME, however, was probably more essential, while the restriction on market access made the situation even worse.