中国大宗商品期货市场定价机制研究

大宗商品期货市场是我国资本市场的重要组成部分,其定价有效性关系到投资者套期保值和价格发现等功能的实现。本文对国际前沿研究中常用的定价因子进行全面系统梳理,并对这些因子对我国商品期货合约收益率的解释和预测能力进行检验。在此基础上,本文构建了适用于我国大宗商品期货市场的包含市场、基差以及基差动量的三因子定价模型。进一步研究表明,基于大宗商品存储理论和现货存货数据构建的投资组合收益率可以被本文三因子模型有效解释,验证了经典的存储理论在我国的适用性。此外,本文对基差与基差动量两个重要因子的经济学意义进行了阐释。本文研究为进一步厘清大宗商品期货市场定价机制提供了一定参考。

The Pricing Mechanism in Chinese Commodity Futures Markets

Commodity markets have become an important part of the modern financial system in China. The trading volumes of commodity futures in the Shanghai Futures Exchange, Dalian Commodity Exchange and Zhengzhou Commodity Exchange rank among the top five in the world. The Chinese commodity futures market is now the second largest in the world, and investors are now more inclined to use commodity futures for hedging and risk management purposes. Commodity futures markets play a crucial role in providing hedging and a price discovery mechanism for investors. The effectiveness of the pricing mechanism affects prices in the commodity spot market and, correspondingly, resource allocation efficiency in the real economy. Therefore, research on the pricing mechanism of commodity futures markets is of great importance for ensuring the stability and vitality of the real economy in China.Although the pricing mechanism in commodity markets is an important subject of academic research, relatively little research focuses on Chinese commodity markets. Research in this area mainly focuses on the predictive power of macro variables based on traditional economic models. In contrast, the literature on developed markets mainly uses asset pricing factors such as basis, momentum and basis-momentum to explain and predict returns. However, the effectiveness of these pricing factors in China's commodity markets is not adequately studied. Therefore, an appropriate and effective factor pricing model is still needed for Chinese markets.In this paper, we comprehensively examine the explanation and predictive ability regarding returns of various pricing factors in Chinese commodity futures markets. We find that the basis, momentum and basis-momentum characteristics are important return predictors in Chinese markets. We construct pricing factors and then use the Alpha test, the Gibbons, Ross and Shanken test and an additional empirical test based on the theory of storage to examine the pricing effectiveness of all candidate factor models. Based on our empirical findings, we propose a three-factor pricing model, which includes market, basis and basis-momentum factors. Our paper is the first to provide an in-depth analysis of the pricing mechanism in Chinese commodity futures markets. Furthermore, we provide an intuitive economic explanation for the factors included in the pricing model.This paper makes the following contributions to the literature. First, in recent years, the pricing mechanism of the commodity futures market has become an increasingly important research topic. In this paper, we conduct a thorough analysis of the effectiveness of basis-momentum, basis and momentum factors, and propose a new factor pricing model for Chinese commodity markets. Our multi-factor pricing model can well explain other factor portfolio returns proposed in the literature, and hence fills the gap in the literature on Chinese commodity markets.Second, we provide an in-depth explanation of the pricing mechanism for the basis factor based on the theory of storage. We find that the basis factor can effectively explain the returns stemming from the commodity physical inventory status. The basis factor can also serve as a useful proxy for the convenience yield of commodities, which is consistent with the prediction of the theory of storage. Our findings highlight the economic importance and the formation mechanism of the basis factor, and fill a research gap in terms of empirical tests for the theory of storage.Third, we find that Boons and Prado's (2019) recently proposed basis-momentum factor plays an important role in predicting commodity futures returns in China. These findings thus provide empirical support for the validity of basis-momentum in commodity markets outside the U.S. We also provide an in-depth explanation for the economic intuition of basis-momentum.Finally, our paper is closely related to the regulatory policies and practices of Chinese commodity futures markets. Regulatory policies on margin requirements and position restrictions are stricter for commodity futures close to maturity. Therefore, investors prefer contracts with longer expiry periods, and these futures contracts have substantially high liquidity. Considering the importance of having sufficient liquidity in commodity futures markets, after conducting a comprehensive comparison of futures contracts of different maturities, we mainly explain the return of the third nearby contract, which is the most actively traded. In general, our paper paves the way for future research on Chinese commodity markets.