现货市场波动与商品期货合约定价  

Relationship between Fluctuation in Spot Markets and Pricing of Commodity Futures Contracts

作　　者：马瑾[1] 曹廷贵[1] 

机构地区：[1]西南财经大学金融学院,四川成都610074

出　　处：《金融理论与实践》2008年第1期86-92,共7页Financial Theory and Practice

摘　　要：通过构建商品期货合约定价模型,证明商品期货合约价格由资本市场系统风险溢价和标的现货市场特有(非市场)风险溢价两个部分构成。商品期货市场价格影响标的商品期货价格的前提条件是存在足够多的参与商品期货市场的交易者。当标的商品现货市场需求增加,在预期商品期货合约价格为正值的情况下,都将会使商品期货合约的价格上升,扩大交易风险并增加多头收益。相反,在预期商品期货合约价格为负值的情况下,需求增长引起初级产品价格上升将使商品期货合约价格的绝对值下降,减少交易风险和引起多头损失。如果标的商品现货市场需求减少,在预期商品期货合约价格为正值的情况下,将引起商品期货合约的价格下降,减少交易风险并降低空头损失。相反,在预期商品期货合约价格为负值的情况下,商品期货合约价格的绝对值增加,扩大交易风险和增加空头收益。By building the commodity futures contracts pricing model, this paper proves that commodity futures contracts price consists of system risk premiums in capital market and specific （non-market） risk premiums in spot market. It is demonstrated that the prerequisite of price in spot market decided by commodity futures price is that there are many dealers in commodity market. With positive expected price in futures market, when demand increases, the price of commodity futures contracts would rise, and the risk in futures market increases too, which expands the profits of long position, and vice versa. With negative expected price in futures market, when demand decreases, the price of commodity futures contracts would go down, and the risk in futures market declines too, which expands the profits of short position, and vice versa.

关 键 词：期货市场 商品期货合约价格 现货市场 期货风险 

分 类 号：F830.9[经济管理—金融学]