Arbitrage Analysis of Futures Market with Frictions
有摩擦期货市场的套利分析方法

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.