基差偏离度对中国商品期货市场定价的影响 —基于横截面检验的实证分析

构建了中国商品期货市场上最近月合约的基差偏离度指标,并以此构造多空组合进行横截面检验.研究结果发现:基差偏离度较高的期货组合未来会获得较低的收益,而基差偏离度较低的期货组合未来会获得较高的收益;中国商品期货市场上现货溢价的现象较为普遍,由基差偏离度构造的多空组合其超额收益主要来自于组合的多头.这说明基差偏离度是中国商品期货市场上的重要定价因子和风险指标.

The Deviation of Basis' Effect on China's Commodity Market Pricing-Based on the Empirical Analysis of Cross Section Test

This paper constructed the deviation of basis for front month commodity futures in China''s commodity futures market, then established long-short portfolios to conduct the cross-sectional test. The research results found that futures portfolio with higher deviation of basis will get low return, and futures portfolio with lower deviation of will get higher return in the future;backwardation is a universal phenomenon in China''s commodity futures market and the portfolio constructed by sorting deviation of basis got excess return from its long position. This demonstrated deviation of basis is an important pricing factor and risk indicator in China''s commodity futures market.