中国商品期货风险溢价的实证检验

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。

Empirical Tests on Risk Premiums on Commodity Futures in China

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.