Research On Risk Premium And Investment Of Chinese Commodity Futures

A large number of studies have conducted detailed studies on the risk premium of stocks and bonds from time series and cross-sections.In recent years,scholars have also begun to study the risk premium of commodity futures from this perspective.Although a small number of pricing factors have been discovered,the existing pricing factors do not fully explain the risk premium of commodity futures,which needs further exploration.In addition,scholars believe that investment based on exposures to commodity fundamental characteristics can obtain considerable excess returns.Therefore,the research on the pricing factors of commodity futures is very important for both commodity pricing and investment.Since China’s commodity futures market started in the early 1990 s,both the types of commodity futures contracts and the scale of market transactions have developed rapidly,and gradually occupy an important position in the international market.Different from developed markets,China’s commodity futures market has its particularity in terms of risk management and trading system.Moreover,in recent years,a new phenomenon has appeared in the commodity futures market--commodity markets’ financialization,which makes the impact of commodity futures on the national economy more far-reaching.This dissertation takes China’s commodity futures market as the research object,studies the model of its risk premium,discusses the performance of commodity futures in style investment and portfolio construction,and analyzes its financialization.The specific research contents and main conclusions are as follows:In the first part,this dissertation establishes a risk premium model for China’s commodity futures.Firstly,this dissertation proposes a new factor,historical basis factor,which can explain the risk premium of commodity futures.This factor has a robust explanatory power for the risk premium of China’s commodity futures,and its ability to predict excess returns of commodity futures is better than other factors.Secondly,this dissertation examines the applicability of market factor,momentum factor,basis factor,and basis-momentum factor that can explain the risk premium of commodity futures proposed in existing studies,and confirms that the basis-momentum factor is redundant.The remaining factors have partial explanatory power for the risk premium of Chinese commodity futures.Finally,the risk premiums of commodity futures contracts of different maturities are significantly different,and their loads on the same risk pricing factors are different.In the second part,this dissertation analyzes the applicability of various style investment methods in China’s commodity futures market.Firstly,in connection with the research in part one,a new style investment method based on historical basis is proposed.And this dissertation confirms it has independent and robust profitability.Secondly,this dissertation proposes to integrate various style investment methods--momentum,term structure,liquidity,and hedging pressure style investment methods,with historical basis style investment method,to get higher returns.Finally,due to the significant difference in profitability,commodity futures of different maturities should be treated differently in the use of style investment methods.In the third part,this dissertation analyzes the role of commodity futures in portfolio construction in the Chinese market.Firstly,this dissertation proves that commodity futures can obtain diversification benefits when they are included in the stock-bonds-foreign exchange portfolio.Secondly,this dissertation proposes that portfolio construction based on style investment methods can achieve higher benefits than portfolio construction based on commodity futures themselves,which is still robust in out-of-sample test.Finally,when commodity futures of different maturities participate in portfolio construction,their diversification benefits show obvious differences.In the fourth part,this dissertation discusses the financialization of China’s commodity futures market.Firstly,based on the volatility spillover and the dynamic conditional correlation between the markets,it proved China’s commodity futures market has financialization phenomenon.Secondly,from the perspective of different types of commodity futures,the degree of financialization of energy futures is higher than others.Finally,the changes in the correlation between China’s commodity futures market and asset markets,as well as the performance of style investments and investment portfolios,have been significantly affected by the financial crisis.The contribution of this dissertation is fourfold.Firstly,this dissertation proposes a new risk factor,the historical basis factor,which can significantly optimize the performance of the commodity futures risk premium model.This dissertation confirms the market factor,the momentum factor and the basis factor can explain the risk premium of commodity futures,and the basis-momentum factor is redundant.Secondly,with the research of risk premium pricing factor,a new commodity futures style investment method based on historical basis is proposed,which has strong applicability in commodity futures market and proves that it can obtain higher returns by integrating other style investment methods with it.Thirdly,in the research of commodity futures participating in portfolio construction,the portfolio construction based on style investment methods is proposed,which has higher profitability.Fourthly,this dissertation confirmed the existence of the financialization phenomenon in the China’s commodity futures market.Compared with other types of futures,the degree of financialization in energy futures is higher.And connecting with the research on style investment and portfolio construction,this dissertation analyzes the impact of financialization on commodity futures’ investment.