有摩擦期货市场的套利分析方法

在Vignola-Dale(1980)和Kawaller-Koch(1984)提出的持有成本(cost of carry)模型的基础上,进一步考虑了由于交易费用、存贮费用、交割费用、增值税和保证金而导致的有摩擦期货市场的套利分析方法.首先,运用无套利基本原理,分别给出了事前预测和事后检验的期货无套利区间模型;然后,运用给出的无套利区间模型进行了算例分析,结果表明:①事前套利分析模型有重要参考价值;②因为不同投资者的资金成本不同,因而套利机会和程度不同;③由于不同投资者的上缴增值税的差异,套利机会和程度也不同.

Arbitrage Analysis of Futures Market with Frictions

Based on Vignola and Kawallers' cost of carry model,this paper considers an arbitrage analysis method of Cu futures with frictions caused by transaction costs, storage fees,deliver costs,capital gain taxes and margin.First ex ante and ex post non-arbitrage interval models are proposed for Cu futures,which are then used in case studies.Empirical results show: 1) the ex ante non-arbitrage model is of important sense;2) investors have different arbitrage opportunities with different extent due to their difference in costs of capital;3) the difference in arbitrage opportunities also results from capital gain taxes.