The Research On Characteristic Of Convenience Yield Of Commodity Future In China

Future market is an important component part of modern factor market. The future market of our country came into existence late but developed very fast, the international status of which is on the up. But little research was focused on the future market of our country, relevant researches on the convenience yield which is an important variable in the relationship between future price and spot price is even less.Convenience yield is usually defined as a potential profit by holding spot commodity. It may come from gusty supply shocks, or be triggered by the demand impact of itself or intermediate goods. Through theoretical analysis and summary, three properties of convenience yield was derived, that is, mean reversion, long-term memory and the leverage effect and put forward related hypotheses.This paper investigates convenience yield of copper and soybeans and we found there exist of either mean reversion, long-term memory or leverage effect in convenience yield. We first examined the mean reversion of convenience yield by regression analysis, the empirical results in line with our expectations, indicating there truly exist of mean reversion, it shows that spot market may also exist of mean reversion. The results of long-term memory research estimated by ARFIMA are also consistent with our expectations, it shows that the convenience yield has a long-term memory of mean reversion. This means that the market exists a equilibrium level, any deviations will be removed at last. Taking into account of the leverage effect of convenience yield, we have established ARFIMA-EGARCH model to joint estimate. Estimate results of copper are consistent with our hypothesis, the long-term memory parameters of which changes little and the price impact caused positive leverage effect, indicating that copper future market is much more mature. The estimate results of soybean convenience yield change a lot, its long-term memory parameter was significantly increased but still suggesting existing of long-term memory. Though existing leverage effect, the sign of its parameter is negative and is contrary to our expectations, we think it is due to market imperfections and strong speculative atmosphere.