Analysis Of The Causes And Characteristics Of The Nonlinear Series Of Futures Basis

Basis hedging has been widely respected by the futures industry.What is the basis hedging? When the futures price is higher than a certain range of the spot price,the operation is short futures and long spot;on the contrary,when the spot price is higher than a certain range of the futures price,the operation is short spot and long futures.Because the prices of spot and futures are always changing,in one period,the spot price is higher than the futures price,and in another period,the futures price is higher than the spot price,so in theory,basis hedging is a low-risk,even can ensure an arbitrage behavior,more and more attention by the futures industry.Therefore,there are more and more researches on the basis characteristics.Most of the results show that the futures basis presents nonlinear characteristics such as "peak thick tail" and periodicity.In this paper,star model is selected to test the non-linear characteristics of three futures basis series of copper,plastics and soybean oil in China.In the analysis process,it is found that the residual terms of three basis series have autocorrelation and non normality.In order to ensure the stability of the non-linear model test,STAR-EGARCH(1,1)is selected as the two interval model,The model fits the basis series.The empirical results show that the three futures basis series have the characteristics of non-linear adjustment,and the three futures basis series have the asymmetry of deviation,among which the plastic basis is the most deviated and the Shanghai copper futures basis series is the least deviated.When the basis deviates from equilibrium,the reaction time of investors in Shanghai copper and soybean oil futures market to this arbitrage opportunity is one day,while that of investors in plastic futures market is two days,which shows that the adjustment speed of futures market in Shanghai copper and soybean oil is faster than that of plastic futures market,and the efficiency is higher.According to the analysis of the empirical results,this paper puts forward some suggestions on the trading operation of basis hedging.When the basis sequence deviates from the trend and becomes strong,the trading strategy of short hedging is adopted in the single period and extended period hedging operation;when the basis sequence has a return trend,the trading strategy of multi hedging is adopted in thesingle period and extended period hedging operation.