库存理论与期货价格:基于沪铜合约的实证检验

库存理论是期货价格的重要解释依据之一。文章以中国上海期货交易所的阴极铜合约作为研究对象,通过建立利息调整基差(iab)与库存量之间的内在函数关系,对库存理论的主要含义进行了实证检验。结果基本上不支持库存理论的基本含义,甚至波动性的非对称特征都没有得到证实。由于受数据可得性的限制,所采用的数据单一、样本期短,这使作者无法排除数据缺陷影响研究结果的可能性。

The Theory of Storage and Future Price: An Empirical Test from Shanghai Copper Futures Contracts

This paper empirically tests the main implications of the theory of storage based on the copper futures contract of Shanghai Futures Exchange.We build a functional relationship between the interest-adjusted basis and storage,which helps to test the theory of storage.But,surprisingly,our paper rejects the theory of storage basically,which is quite different from the previous literature.Due to the relatively short sample period,we can hardly draw any strong conclusions on the theory,and attribute the rejection to the data problem,in hope of more plentiful researches.