Relationship of Margin Rule and Volatility in Chinese Copper Futures Markets

Different from western markets, the margin rates in Chinese futures markets are raised when contract approaches maturity. This paper concentrates on the effect of this time dependent margin rule on volatility. Open interest, another candidate in the margin rule, is also included in our model to investigate its necessity as one of the factors of the rise of margin rates. With the popular copper contract in Shanghai Futures Exchange (SHFE) , our test results suggest that margin levels have a significant positive effect on volatility, yet open interest has little to do with volatility. The implication is that the rise of margin rate approaching maturity virtually deteriorates the degree of market risks, and open interest is not a necessary factor for the margin rule. It indicates that the policy tool, represented by margin rates, has significantly greater influence on volatility than the market element, represented by open interest.     

Empirical Study on Arbitrage Opportunities in China Copper Futures Market

Introduction Arbitrage opportunities attract considerable atten-tion of scholars in economics and finance. Modiglianiand Miller first performed no-arbitrage equilibriumanalysis in 1958[1]. Following their work, Black andScholes[2]deduced the option pricing model. Ross[3]and Cox[4]put forward arbitrage theory and risk neu-tral pricing method. Harrison and Kreps[5], and Har-rison and Pliska[6]proved that the no-arbitrage equi-librium system can be constructed by equivalent mar-tingale measur…     

我国天然胶期货市场有效性实证分析

以上海期货交易所天然橡胶7月合约的每日收盘价为研究对象,采用的方法是单位根检验和方差比检验相结合,通过检验期货价格序列是否服从随机步游过程,来判断市场是否具有弱式有效性。实证检验结果表明,在第一、第二、第四和第五阶段,市场是弱式有效的,但在第三阶段市场并不具有弱式有效性,检验结果与近年来我国天然胶期货市场的实际发展情况基本吻合。     

Evolving Narratives of Low-Carbon Futures in Transportation

Scenarios of low-carbon transport demonstrate that a vast range of different outcomes is possible and contingent on policy, technology and cultural developments. But a closer look indicates that different schools of thought suggest possible pathways diverging in their fine structure. This perspective reveals how three different scientific communities — integrated assessment modelers, transport-sector modelers, and place-based modelers — emphasize distinct solution domains. While integrated assessment models focus on fuel composition, transport-sector models put slightly higher emphasis on efficiency measures; in turn place-based research specifies idiosyncratic behavioral and infrastructural mitigation options that are likely to be beneficial in realizing local co-benefits. These specific local approaches could mitigate urban transport emissions by 20–50%, higher than that revealed in aggregate global models. We discuss differences in approach, possibilities for reconciliation, and the implications of normative assumptions. Targeted three-directional interactions would foster comprehensive understanding of possible low-carbon transportation futures.     

美国股票期权制的应用弊端、完善措施及对我国企业的启示

通过对美国股票期权制的应用弊端及完善措施的分析，结合我国国情、地理位置、历史及文化等诸多因素的产生的影响，提出建立我国股票期权制的几点建议。     

金融期货对推进利率市场化的作用研究

分析了我国金融期货市场及利率市场化改革发展的现状,研究了金融期货发展对利率市场化改革的作用。     

航运市场呼唤中国的航运运价指数期货

随着全球一体化与世界经济的迅猛发展，世界范围内的贸易不断扩大，2000年海运物流量达到58．8亿t^[1]。由于航运价格受到许多因素的影响而变化，它的变化对货主、船东与雇船者带来许多不确定的风险，通过航运运价指数期货可以降低航运业的风险，从而保障航运市场的稳定持续发展。     

航运企业如何运用期货来避免市场风险

从航运市场的价格波动会给船东及货主带来经营中的不确定性入手,分析了运费期货市场。并通过典型案例论证了船东及货主都能利用BIFFEX的期货交易,或锁定运费收入,或锁定运费支出,从而达到规避运价风险的目的。