商品期货投资收益问题研究

Study on Investment Returns of Commodity Futures

按照持有期货合约的部位,将商品期货交易者细分为:标的商品生产商、加工商和投机者。在满足终期效用最大化的条件下,通过联立商品期货、现货和证券市场,推导出一个商品期货投资收益模型,证明了商品期货投资收益由期货市场的系统性风险溢价和非系统性风险溢价两部分组成,并解释了"持有期成本套利"、"现货—期货溢价"和"资本资产定价"三种理论适用于确定商品期货投资收益的前提条件。根据国内商品期货市场与证券市场之间存在负相关性的实证结论,说明发展商品基金、减少证券—商品期货市场跨市场投资的交易成本等措施有利于我国资本市场的发展和完善。

According to the position,we divide the traders in commodity futures markets into Primary suppliers, Processors and Speculators. Under the condition of the most optimize of utility function in final period,by connecting the stock markets, commodity futures markets with spot markets, a two-stage static model of commodity futures investment returns has been built in the paper. We have proved that the commodity futures＇ investment returns consist of both the systematic risk premiums and the idiosyncratic risk premiums. Meanwhile, the model can be used to account the premise conditions for the valid of ＂Cost of Carry Arbitrage＂ , ＂Normal Backwardation Contango＂ and ＂CAPM＂. According with the conclusion that the retunes are the negative correlation between stock and commodity futures markets form modulo check,we illustrate that those measures setting up the commodity funds and decreasing transaction costs are helpful for the development and satisfaction of the capital markets.