%0 Journal Article
%T Arbitrage Analysis of Futures Market with Frictions<br>有摩擦期货市场的套利分析方法
%A LIU Hai-long
%A ZHOU Quan-yi
%A <br>刘海龙
%A 周泉佚
%J 系统工程理论与实践
%D 2007
%I 
%X Based on Vignola and Kawallers' cost of carry model,this paper considers an arbitrage analysis method of Cu futures with frictions caused by transaction costs, storage fees,deliver costs,capital gain taxes and margin.First ex ante and ex post non-arbitrage interval models are proposed for Cu futures,which are then used in case studies.Empirical results show: 1) the ex ante non-arbitrage model is of important sense;2) investors have different arbitrage opportunities with different extent due to their difference in costs of capital;3) the difference in arbitrage opportunities also results from capital gain taxes.
%K Cu futures market
%K margin
%K capital gain taxes
%K cost of carry<br>期铜市场
%K 保证金
%K 增值税
%K 持有成本
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=D0860A22C3AFC9F4&yid=A732AF04DDA03BB3&vid=DB817633AA4F79B9&iid=CA4FD0336C81A37A&sid=27746BCEEE58E9DC&eid=16D8618C6164A3ED&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=0&reference_num=9