期货品种成败及影响因素研究

Success or failure of futures and their influencing factors

自1865年以来,全球期货品种下市率超过30%。本文以"现货溢价理论"为基础,从期货市场演进和投资损益角度,揭示了期货品种成败的一般规律和根本原因,证明企业的套期保值需求程度是决定品种成败的首要因素;作为投机者承担风险而获得的补偿,风险溢价水平是影响期货品种成败的次要因素。现货市场规模、生产周期、价格波动程度、企业生产结构、投机者数量、期货合约标准化程度等多个因素,通过影响企业套期保值需求、投机者收益和市场交易成本,改变期货品种风险溢价的高低。在期货品种筛选、上市和维护中,始终注重套期保值需求,兼顾风险溢价水平,是我国期货品种高成功率的原因。

Since 1865, more than 30% of new futures contracts fail across the global futures markets. In this paper, based on normal backwardation theory, from the perspectives of futures market evolution and investment theory, an attempt is made to prove that the preliminary condition for the success of a new futures contract is the trade-off between the hedging cost for hedgers and risk compensation for speculators, which are the primary and secondary determining factors respectively. Factors, such as spot market size, business cycle, price volatility, production structure, the number of speculators, standardization of futures contracts, are influencing corporate hedging demand, investor return and market speculators transaction costs, therefore to change the level of futures risk premium. During futures choosing, listing and maintaining, attention always paid to hedging demand and taking into account the level of risk premium are the reasons for the high success rate of futures contract in China market.