【作者】 马瑾；

【导师】 曹廷贵；

【作者基本信息】 西南财经大学 ， 金融学， 2008， 博士

【摘要】 本文所要解决的基本问题是商品期货合约如何定价?并在这个基础上讨论了两个派生问题:1、参与相同品种商品期货合约交易的主体结构是否对商品期货合约定价产生影响?2、标的商品现货市场的波动如何影响商品期货合约的价格?商品期货合约是一种标准化的商品远期交易契约,相同品种的商品期货合约在标的物的品质、交易单位以及交割时间方面都作了统一规定,而期货合约中的交割价格是通过市场公开竞争报价决定。期货市场的报价不仅体现交易者对标的商品在交割时愿意承担的交易价格,而且也是对商品未来价格的估计。商品期货合约价格则代表了这种估计与未来实际价格之间存在的偏差,以及期货合约持有者在单张合约上的损益。作为商品期货市场价格体系中的一个重要组成部分,商品期货合约价格有两个显著特点:1、由于期货交易允许卖空,商品期货合约价格可能为负值;2、作为预期与实际价格之间的偏差,商品期货合约价格的大小直接度量期货交易的风险程度。因此对商品期货合约定价的研究对解释期货价格变动趋势、交易者行为以及期货市场风险的构成都有重要意义。在这篇论文中我们将商品期货市场的参与者分为标的商品生产商、标的商品加工商和投机者三类,在现货、期货以及证券市场同时存在的条件下,分别建立市场主体的终期消费函数,利用效用最大化的一阶条件,在期货、现货市场同时均衡的框架内,构建了一个关于商品期货合约定价的两期比较静态模型。模型证明商品期货合约价格是对承受资本市场的系统性风险和商品期货市场中非系统性风险两部分风险溢价的总和,其绝对值与参与商品期货交易的投机者数量呈反比,投机者数量越多,商品期货合约价格的绝对值越小。这时商品期货交易的风险越小,商品期货价格越平稳,商品期货的价格发现功能越突出。在参与商品期货交易者总数不变的前提下,参与商品期货交易的初级产品生产商越少,商品期货风险溢价下偏,空头利润增加或减低空头损失。参与商品期货交易的加工商越少,如果商品期货风险溢价有上升趋向,对多头有利。如果商品期货交易成本为零,投机者数量增加使得商品期货市场的风险溢价完全由市场的系统风险溢价构成,这时如果商品期货市场和证券市场无关,那么期货价格就是未来现货价格的无偏估计。当标的商品现货市场需求增加,在预期商品期货合约价格为正值的情况下,都将会使商品期货合约的价格上升,扩大交易风险并增加多头收益。相反,在预期商品期货合约价格为负值的情况下,那么需求增涨引起初级产品价格上升将使商品期货合约价格的绝对值减低,减少交易风险和引起多头损失。如果标的商品现货市场需求减少,在预期商品期货合约价格为正值的情况下,将引起商品期货合约的价格减低,减少交易风险并降低空头损失。相反,在预期商品期货合约价格为负值的情况下,那么商品期货合约价格的绝对值增加,扩大交易风险和增加空头收益。与传统的“便利收益”和“无套利期货定价”理论相比,本文推出的模型对商品期货合约价格有更强的解释能力,而且模型中使用的主要变量在现实中更容易找到对应的样本,因此具有良好的实用性和计量特性。更多还原

【Abstract】 There are three issues we discussed in this paper. First, how mach is the commodity futres contracts? Seconde, what infection would be made for the price of commodity futures contracts when the diffierient structure of dealors in futures markets? Third, how variation of the price of commodity futures contracts would be when shocking in spot markets?Commodity futures contracts are the kinds of contracts of forward goods trade. Same qualitative、amount and delivery time of subject commodity are claimed in same commodity futures contracts, and the price of subject commodity at delivery time is decided by openly competition. The price in future markets not only declares the willing of dealer affording at delivery time, but also denotes the expectation of dealer for forward price of subject commodity. The forward price of subject commodity in spot minus the price in future markets is the price of commodity futures contracts, which represents the profit and loses of dealer too. As an important part in the price system of future markets, the price of commodity futures contracts have two characters: first, the price of commodity futures contracts would be less then zero because of the rule of short selling in future markets; second, as the differentials between expectation price and factual price of subject commodity in forward, the magnitude of the price of commodity futures contracts measures the risk degree in future markets. So there is an impotent significance to study of the price of commodity futures contracts.By dividing the dealers in future markets to primary producers and processors of subject commodity and speculators, under the circumstance of existing spot markets and future markets, we building the consume function of each dealers. Based on the utility maximum by solving the first order derivative of consume functions, we build a two-stage static model of commodity futures Contracts price. Then we discuss the effect for the price of commodity futures Contracts price with the stats of changing in compose of dealers and the shocking in spot markets.The model we have developed demonstrates that the commodity futures contracts price is composed of the systematically risk premiums and the unsystematically risk premiums. We prove that the absolute value of the risk premiums has an inverse relationship with the number of speculators. When the amounts of speculators increases, the absolute value of the commodity futures contract price and the transition risk in future markers will decrease, the price in commodity future markets will be settle stability, and the function of price discover will be developed sufficiently.Keep the whole amount of dealers constant, the risk premiums would decline when the amounts of primary suppliers diminish, and the short position has an advantage. The risk premiums would arise when the amounts of processors diminish, and the long position has an advantage. Under the zero of the cost of transaction, with the increasing speculators, the risk premium would be decided by the premium of whole system risk. And if the affection of equity capital market is ruled out, the futures price is the price in future spot markets.With positive expected price in futures markets, when demand increase, the price of commodity futures contracts would be rise, and the risk in futures markets enhances too, which expend the profits of long position, and vice versa. With negative expected price in futures markets, when demand decrease, the price of commodity futures contracts would be bring down, and the risk in futures markets declines too, which expend the profits of short position, and vice versa. Meanwhile, it is demonstrated that condition of price in spot markets decided by commodity futures price is that there are many dealers in commodity markets. When the amount of the primary producers or processors is small, the futures contracts price has the trend of offset up or down. And the offset up will be increased as there are dealers in future markets who do not invest in both futures and securities markets. The positive shock to the spot market produces against the primary product price will cause the offset between the futures price and vice-versa。Compared with tradition theories of“Convenience Yield-Cost of carry)”and“arbitrage-free model of futures pricing”, the model built in the paper have more power ability for explanting the circumstance in future markets. The model owns batter characters for practical and metrological employing because the variables used in the model can be found easily the matched samples.更多还原