中国商品期货市场存在趋势吗?

Are There Trends in Chinese Commodity Futures Market?

依照组合分组是检验趋势的一种新方法。本文选取了2003~2015年中国商品期货市场所有合约的日数据,并比较了在单品种及分组组合上买入并持有策略和移动平均趋势择时策略的绩效。结果显示,移动平均策略在分类组合获得了显著高于买入并持有策略的收益,肯定了趋势在中国商品期货市场上的存在性,该优势相当稳健,滞后期数、金融危机、头寸约束和连续合约的影响并不大。该优势可以解释为套期保值者为了转移风险提供给投机者的风险溢价。

Sorting the assets into portfolios is a new methodology to test the exploitable trend. This paper selects the daily trading data of all commodity futures on Chinese future market during 2003 to 2015, constructs the continuous series of future price and sorted portfolios, and compares performances of buy-and-hold strategy and simple moving-average strategy. Empirical evidence shows that, simple moving-average strategy outperforms buy-and-hold strategy significantly, which confirms the existence of trend. Such outperformance is robust to moving average lags, and short position, 2008 financial crisis and continuous futures series. Such outperformance can be explained by the risk premium that hedgers pay to speculators for risk transfer.