摘要
选取2014年1月至2016年11月的铁矿石、螺纹钢及焦炭期货的所有主力合约数据，首先通过协整检验发现，螺纹钢与铁矿石两者之间，及螺纹钢、铁矿石与焦炭三者之间存在长期较稳定的协整关系；再根据Jarque—Bera统计量分析发现，对螺纹钢、铁矿石及焦炭三者之间进行套利的效果最佳；再通过闻值测算，发现当开仓阈值为1时，套利交易的期望收益率最大。对样本内外的数据进行套利测试，结果发现样本内获得了32．18％的年化收益率、样本外获得了26．62％的年化收益率，均较为不错。
This paper choosed all main contracts data of iron ore, rebar and coke futures from January 1, 2014 to November 12, 2016. With the cointegration test, the author found that between rebar and iron ore , and rebar, iron ore and coke have long- term stable cointegration relationship; With according to Jarque-Bera statistical analysis, the authour found that rebar, iron ore and coke can have the best results in arbitrage; With the threshold calculation, the author found that when the opening threshold is 1, arbitrage transactions have the best expected rate of return. The arbitrage test of the data inside and outside the sample showed that the annual yield of 32.18% is obtained in the sample, and that of un-sample result is 26.62% , which both are good return rate.
出处
《上海立信会计金融学院学报》
2017年第2期58-68,共11页
Journal of Shanghai Lixin University of Accounting and Finance
基金
国家社科基金项目（13BJL039）、湖南财政经济学院青年教师科研基金项目（Q201408）.
关键词
期货市场
统计套利
跨品种套利
铁矿石
螺纹钢
Future market
Statistical arbitrage
Trans-variety arbitrage
Iron ore
Rebar
作者简介
周亮（1986-），男，湖南邵阳人，湖南财政经济学院学报编辑，硕士。
