中英期货市场铜期货跨市套利行为研究

Research on Trans-market Arbitrage of Copper Future between Sino-British Future Markets

在经济全球化日益成形以及国内期货市场的不断成熟情况下,LME与SHFE两市间铜期货套利行为日趋增多。从跨市套利的角度,通过国内外市场价格比值的变化考察国内外市场的关联性,结果表明,国内期货市场价格波动对于国内外期货市场的价格信号的反应存在显著差异,并且这种差异呈现同一的模式。究其原因,主要是国内投机者存在着低估国际市场价格波动、高估国内市场价格波动的心理偏差。从现实和长远利益的视角出发,无论理论界还是实业界,都应重视期货市场本身的套期保值行为和套利行为,重视理论研究和实务出现的偏离。

With the shaping of economic globalization and maturity of domestic future markets, arbitrage of copper future is increasing gradually between LME （London Metal Exchange） and SHFE （Shanghai Futures Exchange）. From the perspective of trans-market arbi- trage, this paper examines the correlation between domestic and foreign markets through the changes of ratio of their market prices. The study shows that it is significanfly different that the price fluctuation of domestic future market responds to price signals from domestic and foreign future markets, and this difference has assumed the same pattern. The main reason is that domestic speculators have psychological bias in underestimating price fluctuation of international future market while overestimating that of domestic future market. Starting from the practical and long-term interests, both theory and business circles should take hedging and arbitrage behaviors seriously, and pay attention to deviation between theory and practice.