关于我国商品期货指数的战略思考

编制科学的商品期货指数是我国商品期货市场成熟化和多样化的标志。本文从研究商品期货指数内涵及其作用入手,分析了我国商品期货指数发展的现状与问题,与国际商品期货指数进行比较,提出了发展我国商品期货指数的相关建议。     

正确认识商品期货的地位和作用

正确认识商品期货的地位和作用赵杰，胡定（国内贸易部市场建设管理司副司长）（国内贸易部市场建设管理司）近年来，我国商品期货市场有了较快发展，总的方面是好的，但也存在一哄而上，盲目发展的现象，这与对期货市场认识上的一些偏颇观点不无关系。正确认识商品期货的...     

沪深300与国际股指期货标的指数的比较——基于指数编制

2006年10月30日中国金融期货交易所推出以沪深300指数为标的的股指期货仿真交易至今已经3年多了,3年期间各方呼声一片,希望早日正式推出股指期货产品。2010年1月沪深300股票指数期货即将上市的消息公布后,立即在证券界与期货界炸开了锅。本文通过对沪深300指数和国外股指期货标的指数在计算方法、类型、成分股数量、市值覆盖率和选股标准等技术指标进行归纳总结和比较,进一步审视我国的股指期货标的指数——沪深300指数。     

我国商品期货国际定价影响力分类比较研究

随着经济全球化的发展,在全球范围内,我国成为了大宗商品最大进口国家,同时也是许多大宗商品在全球范围内最大的出口国家,然而我国不管是成为最大买家还是卖家,我国本国所具有的大宗商品国际贸易仍然缺乏相应的国际定价影响力,因此长期以来,很容易就被一些国际化的大宗商品定价体系转向边缘化发展,从而为此造成了重大的损失,甚至直接阻碍我国经济和社会的发展。所以就必须尽快的提升我国商品期货国际定价方面的重大影响力,从而尽快的将我国建设成为一种世界性的期货定价中心,这项工作对于我国经济社会的发展来说,具有重要的意义。本文主要针对我国商品期货国际定价影响力分类比较进行研究,并为此进行简要论述以供参考。     

我国商品期货品种间溢出效应的实证研究

随着我国期货市场的发展壮大,国际影响力也在逐渐增强。但在影响力增加的同时,期货市场的风险也在增强。这为监管者的政策制定和执行增加了难度。本文通过构建收益指数、波动溢出指数和VAR模型来研究商品期货品种间的溢出效应,为监管者更好地制定相关监管法律,健全我国期货市场健康发展提供依据,并提出相关的对策建议。     

中国商品期货期权定价及实证研究

本文是在我国没有期权交易实践的情况下进行的超前研究。目的是寻找中国商品期货期权定价特点，为制定各项交易制度提供实证支持。本研究首次运用郑州商品交易所期权交易模拟数据确定基础资产价格与期权价格之间的因果关系，并对希腊字母（风险参数）进行详尽分析和研究，为期权上市后的风险控制奠定基础。研究表明，期权定价模型实用、可行，为未来上市期权交易提供了佐证。     

Evidence of arbitrage trading activity: The case of Chinese metal futures contracts

Several unique insights are documented based on a study of selected metal futures contracts traded in the U.S. and China. Based on our unique measures, we present intra market evidence that the U.S. gold and silver futures markets reflect a fully arbitraged market and U.S. copper nearly so. In contrast, the Chinese gold and silver futures markets appear to reflect an un-arbitraged market whereas the Chinese copper market is characterized as somewhat arbitraged. We explore various reasons for this evidence as well as document the differences in gold, silver, and copper futures markets between China and the U.S.     

Skewness and index futures return

In this paper, we show that the individual skewness, defined as the average of monthly skewness across firms, performs very well at predicting the return of S&P 500 index futures. This result holds after controlling for the liquidity risk or for the current business cycle conditions. We also find that individual skewness performs very well at predicting index futures returns out-of-sample.     

The pricing of stock index futures spreads at contract expiration

This paper conducts an empirical analysis of the mispricing of calendar spreads for stock index futures. Using recent data drawn from the Sydney Futures Exchange, a sharp increase in the magnitude of spread mispricing immediately prior to maturity of the near contract is documented. This pattern in mispricing is related to a sharp decline in open interest in the near contract and an increase in open interest in the deferred contract. Further, the direction of mispricing of the near and deferred contracts are more likely to move in opposite directions as the near contract approaches maturity. These findings are consistent with the hypothesis that traders seeking to roll‐over their positions from near to deferred futures contracts close to maturity increase the magnitude of spread mispricing. © 2002 Wiley Periodicals, Inc. Jrl Fut Mark 22:451–469, 2002