Based On COC Model To Check The Effect Of VAT Factor To Futures Price

At present most exchanges including the United States, exchange, the London metal exchange, the Tokyo Commodity Exchange, the Singapore futures exchange and the Europe futures exchange all adopt the way of quotation which is not including tax all over the world. These exchanges’countries except United States, have set up the VAT or similar taxes. However, China’s three commodity futures exchanges all use the way of quotation which is including VAT. There is seemingly no effect on futures trading whether VAT is included in quotation, but for the settlement of contracts’profit and loss or issuing VAT invoices, the difference is essential. This article first deduced theoretically discovered quote if VAT does not affect the participation of ordinary futures speculators, because quotes are inclusive of VAT transactions do not affect the leverage ratio, in the case of VAT for quote speculators, the only increase in the price of every hand, but also in conjunction with the gain or loss proportional to enlarge. For participation in hedging transactions and risk-arbitrage trader, based on the original hedge ratio of1:1on the spot, the price will hit part of the exposure risks. Therefore, this article does not consider the start of COC VAT invoice cost of ownership model, the angle of the transaction is not considered the main factor in VAT to predict ex ante risk-free arbitrage opportunities. This is because on the one hand, in our country, the VAT invoice processing enterprises more flexible approach, some companies may have bonded state preferential policies, some companies have other stamps channels, not even rule out the occurrence of cases of tax evasion; another, the large number of foreign literature, studies are based on the form does not offer tax regime under foreign, and therefore does not exclude domestic risk-free arbitrage may directly apply foreign classic arbitrage model. So when the subject of the transactions carried out prior forecast of arbitrage opportunities, the factors likely to VAT and do not care if the transaction subject have ignored the VAT factor, then factor in excluding VAT, the VAT should not consider factors that can The COC holds cost model to prove that markets are no arbitrage opportunities, thus proving less affected by VAT factors, empirical proof of this hypothesis is not rejected. In addition, the article also COC cost of ownership model, and based on the use of spot obliterated VAT factors, in order to build a new risk-free arbitrage model, similarly to prove the market is no arbitrage opportunity way to judge the futures consider whether the transactions subject to VAT factors, empirical proof of the same does not reject this hypothesis. The empirical results of this paper are two hypotheses can not be rejected, it is also not clear whether the impact of the VAT transactions main factors determine the futures prices, but this article to build a new risk-free arbitrage model to bring the VAT element of the obliterated risk, as in our country arbitrage traders arbitrage provides a powerful model.