本文基于便利收益模型(CYM)的视角推导出商品期限结构、期货回报并对期货回报进行分解。选取我国三个商品期货交易所相关数据作为样本,对我国商品期货回报与现货价格变化进行测度研究。研究发现,在样本期内,商品期货回报和现货价格变化之间不存在密切关系;以展期收益或预期现货价格变化为条件的商品风险溢价具有时变性;平均展期收益反映了现货价格变化对风险溢价的预期偏离;期货期限结构、便利收益和展期收益准确地预测了现货价格变化。上述研究结果为我国商品期货回报与现货价格变化的测度和管理以及商品期货投资决策设计提供了一些有帮助的理论借鉴和操作性较强的方法选择。
The international commodity market price fluctuation has seriously negative impact on Chinese commodity import costs. Under this background, it has great academic value to study the spot price change and commodity futures returns in China. Based on the convenience yield model, the commodity term structure, commodity futures returns and futures returns decomposition are obtained. Then the relevant data is selected from China's commodity futures exchange as samples, and a measurement study on commodity futures returns and spot price change is proposed. The results show that, in sample period, there's no close relationship between commodity futures returns with spot price change;commodity risk premiums that are conditional on roll returns and expected spot price changes are time-varying;average roll returns reflect the expected deviation of the spot price change from the risk premium;the futures term structure, convenience yields and roll returns accurately anticipate subsequent spot price changes.The above-mentioned theories and empirical results provide some helpful references and operable selection methods for measure and management as well as commodity futures investment decision design in the pricing of commodity futures especially different commodity futures returns and spot price change in China.
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