Can Subprime Crisis Affect the Price Difference of Futures Contracts with Different Maturity Dates?
In this paper,a novel price difference model for the futures contracts with different maturity dates is constructed and the corresponding influencing factors are also analyzed based on the futures pricing theory.The empirical results show that the price difference with different maturity dates can be influenced by open interest,liquidity level and market risk.First,open interest difference and liquidity difference are positively related to price difference,while market risk is negatively related to price difference.Then,there is no distinct change in price difference before or after American subprime crisis.Finally,the influence of market risk on the futures contracts has astringency,and further display the aggregation effect of the price difference under the influence of market risk.
futures market price difference model market risk subprime crisis
SHEN Hong
Commercial College,Yangzhou University,JiangSu,Yangzhou,China,225127
国际会议
大连
英文
136-141
2013-06-29（万方平台首次上网日期，不代表论文的发表时间）