Commodity Futures Cross-border Arbitrage Strategy And Empirical Analysis

Many studies have been done on futures arbitrage, however a few of them focus on the cross-border arbitrage of commodities futures, let alone those on sugar futures. As a matter of fact, due to the active deals of the market, the commonality of objects and the high involvement of the spot goods, sugar futures is one of the best materials for studying the cross-border arbitrage. Especially in recent years, more and more players participate in the cross-border arbitrage market, thus the method is typical in agriculture products market.The thesis begins with the analysis of the elements that affect the cross-border arbitrage, improves the method adopted by the spot traders in calculating the outside quota import profits, and finally proposes and simplifies the pattern of cross-border arbitrage of sugar futures, which narrows down the arguments to the futures price, forward premium, freight and forward exchange rate.The outside quota import profit is used as the observation index of the cross-border arbitrage pattern. The thesis holds that when outside quota import profit is positive, the cash and carry arbitrage strategy, i.e. buying the raw sugar futures and selling a certain portion of sugar futures, may be adopted, meanwhile, it also analysis and demonstrates that the portion of the position in the practical arbitrage shall follow the principle of complying goods values. After selecting and processing enough data samples, the author tests and verifying the pattern, and analysis the effects of the patterns when applying it in the historical market.The author concludes that the risks for the pattern are mainly the risks lying in policy, exchange rate, funding, etc, and proposes the method of risks response and avoidance.The pattern of cross-border arbitrage of sugar futures has the typical character of the agriculture products cross-border arbitrage, the method and observation index of which are representative. It can be used for reference for the cross-border arbitrage of other agriculture products, especially those are upcoming soon.