中文摘要：

本文选取从2012年7月到2013年5月我国市场的螺纹钢现货价格和上海期货交易所相关期货价格为样本，系统研究螺纹钢期现货价格之间的互动关系，进而提出套利交易的可能性。在克服持有成本理论的假设条件太强的基础上，改进原定价模型并据此构建出一个效率更高、适用性更强的无套利区间。实证研究结果表明，自螺纹钢交易两年多来，其定价较为合理，现货和期货仅存在少许的套利机会且多为正向套利。

英文摘要：

Through the analysis of the price sequence constituted by HRB spot price and various futures con- tract prices in Shanghai Futures Exchange from July 2012 to May 2013, this paper clarifies the dynamic relation- ship between spot and futures prices of HRB and puts forward the possibility of arbitrage trading. The original pricing model is improved on the basis of overcoming the strong hypothesis conditions of the Cost of Carry Theo- ry, and a more efficiently,more adaptable arbitrage-free interval will be built accordingly. The empirical study results show that the HRB transaction prices are reasonable in the past two years. The arbitrage opportunities be- tween spot and futures are few, and most of them are positive arbitrage.