商品期货指数的编制研究及功能检验  

The Construction of the Commodity Futures Index and Study of Its Functions

作　　者：部慧[1] 李艺[1] 陈锐刚 刘庆伟 王拴红[1] 汪寿阳[1] 

机构地区：[1]中国科学院研究生院管理学院,北京100080 [2]大连商品期货交易所,大连116023 [3]美国安永(Ernst & Young)北京金融衍生产品研发部

出　　处：《中国管理科学》2007年第4期1-8,共8页Chinese Journal of Management Science

基　　金：国家自然科学基金委员会优秀创新研究群体基金资助项目(70221001);国家杰出青年基金资助项目(70125001)

摘　　要：在国际期货市场上,商品指数已经成为市场走势重要的风向标。而在国内市场上,商品指数的研究和开发还处于起步阶段。在国内为数不多的商品期货指数中,中科—格林商品期货指数(M-G Commodity futures index)是较为重要的一个。该指数在开发过程中充分借鉴了国际成熟商品指数的经验,同时也考虑了中国期货市场的自身发展特点,具有较强的适用性。本文以中科-格林商品指数为研究对象,阐述了商品期货指数的编制方法,并验证了指数的功能。Commodity indices have played important role in global futures market to measure trends in commodity futures markets. However, research on Chinese commodity index is still in the starting period. While on the other hand, with China＇s integration into the world econoray and the development of Chinese futures market, the study of commodity index has more practical significance than before. As an important index among Chinese commodity futures indices, M-G commodity futures index is characterized by its applicability, since it not only absorbs the advanced experience from global commodity indices, but also takes into account the current situation of Chinese futures market. In this paper, we take M-G commodity futures index as an example to discuss the design of commodity futures indices; also, we test the functions of M-G commodity futures index, based on which we evaluate its performance.

关 键 词：商品指数 期货市场 时差相关分析 绩效 

分 类 号：F224[经济管理—国民经济]