螺纹钢期货市场功能实证检验.docVIP

螺纹钢期货市场功能的实证检验 摘要： 上海螺纹钢期货市场的巨大持仓量、成交量，表明其市场功能很可能得到了充分发挥。文章针对螺纹钢期货市场应有的套期保值、价格发现、套利功能，选择相应期、现数据进行了实证检验。检验结果表明：市场具备良好的套期保值效率，存在较为明显的跨期套利机会，期货价格对现货价格具有较强的引导作用。 abstract: the great open interest trading volume of shanghai twisted steel futures market indicates that the market probably has played a sufficient role. the paper takes a positive inspection on the basis of futures spot data, aiming at the function of hedge, price-discovery and arbitrage of the market. the inspection shows that the market has a good function of hedge, price-discovery and arbitrage. 关键词： 螺纹钢；期货市场；功能 key words: twisted