The Research Of Cross Commodity Arbitrage In Iron And Steel Industry And The Empirical Tests In The Futures Market

The commodity futures market in china has entered the development by leaps andbounds, with the rapid development of our country’s economy, China’s demandfor goods and the trade volume growing rapidly. Futures market operation systemand trading system has attracted a large number of investors.The trading of futures arbitrage scale in our country also gradually increased,because the futures arbitrage return on investment risk is relatively small andrelatively stable. This article mainly studies the iron and steel industry acrossvarieties carry goods related to the feasibility of establishing the arbitrage model,found that arbitrage opportunities, choose the arbitrage opportunity, inspection ofarbitrage utility. The constructing arbitrage model is the core idea of this article isthrough virtual steel production and operation process, and use the production asthe main indicator of across varieties arbitrage profits. The empirical test result inthe arbitrage model shows that the arbitrage model suitable for China’s iron andsteel industry across varieties carry trades, and the model has good validity andpracticality.The research topic of this paper, enriches the across commodity arbitrage relatedresearch in the futures market of China steel industry, and provides a basis on thecarry trade across varieties for iron and steel enterprises and investors. This paperprovides a systematic analysis of the research to take advantage of theimplementation of the carry trade to obtain the goal of low risk and stable income for steel companies and investors. This paper for iron and steel enterprises andinvestors grasp the actual operating mode and methods of the carry trade toprovide relevant reference and inspiration.