Empirical Tests on Risk Premiums on Commodity Futures in China

doi:10.12005/orms.2017.0146

Operations Research and Management Science ›› 2017, Vol. 26 ›› Issue (6): 124-131.DOI: 10.12005/orms.2017.0146

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Empirical Tests on Risk Premiums on Commodity Futures in China

ZHANG Mao-jun¹, WANG Wen-hua², QIN Xue-zhi²

1.School of Mathematics and Computing Science, Guangxi Colleges and Universities Key Laboratory of Data Analysis and Computation,Guilin University of Electronic Technology, Guilin 541004, China;
2.Faculty of Management and Economics, Dalian University of Technology, Dalian 116000, China

Received:2017-04-07 Online:2017-06-25

中国商品期货风险溢价的实证检验

张茂军¹, 王文华², 秦学志²

1.桂林电子科技大学数学与计算科学学院,广西高校数据分析与计算重点实验室, 广西桂林 541004;
2.大连理工大学管理与经济学部,辽宁大连 116000

作者简介:张茂军(1977-),男,山西忻州人,博士,教授, 研究方向:金融工程;王文华(1988-),山东泰安人,硕士研究生,研究方向:金融工程;秦学志(1965-),辽宁大连人,博士,教授,研究方向:金融工程。
基金资助:
国家自然科学基金资助项目(71461005,71561008); 广西省研究生创新项目(GDYCSZ201471,2016YJCX48,YCSW2017143)

Abstract

Abstract: In this paper the existence of the risk premium, systematic risk premium and basis risk premium on three types of commodity futures including metals futures, agricultural futures, fuel and chemical products futures in China are tested by linear regression methods with these futures’ data from December 2003 to November 2013. It is found that there exist the risk premiums on the most of commodity futures, and the one on the same kind of commodity futures changes with its different expiring dates; the system risk premiums on the categories of metals and agriculture commodity futures are affected by the capital market in China; there are the basis risk premiums on the most of these commodity futures.

Key words: commodity futures, risk premium, basis risk, systemic risk

摘要： 本文采用2003年12月到2013年11月期间的金属类期货、农产品类期货,燃油化工类期货的数据,利用线性回归方法,对这三类期货的风险溢价、系统风险溢价和基差风险溢价的存在性进行了检验。研究结果表明:大部分商品期货存在风险溢价,同种商品期货风险溢价的存在性随到期日变化;资本市场对金属类和农产品类商品期货的系统风险溢价影响显著;绝大部分商品期货存在基差风险溢价。

关键词: 商品期货, 风险溢价, 基差风险, 系统风险

CLC Number:

F830

ZHANG Mao-jun, WANG Wen-hua, QIN Xue-zhi. Empirical Tests on Risk Premiums on Commodity Futures in China[J]. Operations Research and Management Science, 2017, 26(6): 124-131.

张茂军, 王文华, 秦学志. 中国商品期货风险溢价的实证检验[J]. 运筹与管理, 2017, 26(6): 124-131.

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Empirical Tests on Risk Premiums on Commodity Futures in China

中国商品期货风险溢价的实证检验

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