跨期套利方法在商品期货交易中的应用——以中国聚氯乙烯期货为例
The Application of Calendar Spread Arbitrage in Commodity Futures Trading—Represented by PVC Futures in China

对期货跨期套利方法的研究既有利于提高市场效率，又能丰富现有投资工具的种类，对资本市场的稳定可持续发展有着极其深刻的影响。故本文着眼于中国商品期货市场的跨期套利交易，在简要阐述相关的套利概念、原理及研究方法后，以聚氯乙烯期货主力合约2010年至2019年的月均收盘价为研究对象，构建协整回归及VEC模型，基于统计套利中的均值回归理论进行了一系列实证分析，发现合约价差长期均衡及短期偏离关系，并据此制定了相应的套利交易策略。在证实了聚氯乙烯期货合约间存在跨期套利机会的同时，为大宗商品行业在生产经营中利用期货市场规避价格风险提供参考。
The research on the method of futures calendar spread arbitrage can not only improve the market efficiency, but also enrich the types of existing investment tools, which has a profound impact on the stable and sustainable development of the capital market. Therefore, this paper focuses on the cal-endar spread arbitrage trading in Chinese commodity futures market. After a brief introduction of relevant arbitrage concepts, principles and research methods, this paper takes the monthly aver-age closing price of main PVC futures contracts from 2010 to 2019 as the research object, constructs cointegration regression and VEC model, and conducts a series of empirical analysis based on the mean regression theory in statistical arbitrage. The long-term equilibrium and short-term devia-tion of the contract spread are found, and the corresponding arbitrage trading strategies are for-mulated accordingly. While confirming the existence of calendar spread arbitrage opportunities between PVC futures contracts, it can also provide reference for commodity industries to use futures market to avoid price risk in production and operation.