Study On Theory And Application Of Commodity Futures Spread Trading

It is very important of perfect trading mechanism and efficient market function for the futures market as the high grade market economic. Spreads in futures markets make the price to be normal, enhance the liquidity, increase the volume of trade and reduce the market risk. While, spreads in Chinese futures markets are very few, which makes the market with thin liquidity, violent volatility and great risk in spread trading; more over, the investors are with improper investment structure, small fund, shortage in professionals and no efficient risk management methods. All those limited the development of spread. With the development of Chinese futures markets, both of the market and investors require more for study on the theory and application of spread. Through theory and application research, the spreads are deeply studied.Unit root test, series auto-relation test and runs test are applied to test the efficiency of Chinese futures markets. The result shows that they are far away from weak form efficiency markets. By the GARCH models of return rates of the markets, there are significant ARCH effect in them and GARCH(1,1) model can precisely describe the volatility of these series. The long-term correlation of Chinese futures markets are analyzed through the revised R/S method. The empirical result shows that the volatility of the return time series of the copper, aluminum, rubber and soybean futures markets are with strong long-term auto-correlation and clustering. Furthermore, the rubber futures market has an average non-periodic cycle of 310 days. The wheat futures market has both 40 days and 170 days sub-non-periodic cycles in which its volatility is persistent, while its persistence reversed when the time span is longer than 170 days. Finally, some research results on the relationship between the volume and price, week and month effect, price discovery and relationship between the market inside and overseas are detailed discussed.The relationship of Spot, futures and expected futures prices are analyzed. The expected hypothesis and risk-neutral pricing theorem are discussed. Cost of carrying pricing theorem and its test and convenience yield are systematically sutdied and its revision is analyzed too. The CAPM model, CCAPM model and its linear model of...