A Study On The Arbitrage Strategy Between SHFE Copper Futures And Related Stocks

Because the risk is high when the investors buy the copper futures or the stocks only, and now, the present arbitrage portfolios that include copper futures cannot bring the investors the earnings as high as the last several years, so based on the DCF model, EMH and Markowitz’s portfolio theory, the paper is researching how to arbitrage using copper futures and relative stocks.This paper uses Jiangxi Copper, Tongling nonferrous metals, Western mining, and Yunnan copper to make a stock portfolio, the uses the stock portfolio and the copper futures, whose last trading day is3months later, to make an arbitrage portfolio. Then, the paper gives a method to decide the when to buy or make a position and when to close the position. After introducing the arbitrage strategy, the paper uses the relative data from the year2008to2011to verify if this strategy works well. The paper also research whether different weight number of the stocks in the stock portfolio and different Arbitrage intervals will have different influences on the arbitrage rates. At last, deduct the arbitrage expenses from the arbitrage to get the net rates. The conclusion is if the investors use the as the weight number of the stock, the arbitrage portfolio will bring a higher rate for the investor. Mit is the total price of the "i" stock,...