China Commodity Futures Index And Its Characteristics Research

As the continuous improvement of Chinese financial market, Futures market has become an important component of Chinese financial system. For nearly 20 years of development, Chinese commodity futures market becomes more mature, but so far the market still has not been established a commodity futures price index that can be widely recognized, which seriously hampered the development of commodities futures markets in China. In view of this, this paper focuses on Chinese commodity futures market and trys to draw a method of establishing commodity futures price index of China.First, throuth a detailed sort of the method for the foreign commodity futures price index, We can master the mature commodity index methodology. Analyzing the major international commodity indices, We can know the core of establishment of commodity indices are depends on the following fators:the establishment of commodity index to determine goals, and he compilement of principles for the objectves according to indices, indicators to determine index constituents commodity contracts variety selection, variety right settings, and re-index calculations for the fundamentals of index.This paper has studied the development process of Chinese commodity futures market, and divided it into four phasess:the first phase (1988～1990) preparation phase; the second stage (1990～1993), the initial stage; Article three-stage (1993～2000), rectifying and standardizing the stage; fourth stage (2001～today) specification stage of development. After researching the development of Chinese commodity futures market, It has been found that the biggest difference between Chinese commodity futures market and foreign mature market is the instability of commodity contractsIn this paper, we used mathematical statistics methods to research the most active contract and found that three days moving average method used to find out the most active contract would get an ideal result. The three days moving average method to be the main force of the contract has the advantages of good stability and little error. The use of three days moving average price method makes use of the most active contract in Chinese commodity futures price is feasible.Secondly, on the base of mastering the methodology of international commodity futures price index and understanding the characteristics of Chinese commodity futures market, accoring to the target of Chinese commodity futures price index:reflecting the overall trend of Chinese commodity futures markets and having strong investment function, through the coordination the principles, such as index liquidity, diversity, economic importance, investment function, to determine the most important five basic modules of the commodity futures price index. "index component item selection method", "variety contract option method "," weight design method "," index re-balancing method "and the" index calculation method". Ultimately, we completed the Chinese Commodity Index (CCI).For in-depth study of Chinese commodity futures market, this article divided Chinese commodity futures into three sectors:metal products industry, agricultural industry and energy & chemical products industries. On the base of the compilement method of Chinese Commodity Index (CCI), we set up metal products, agricultural products and energy & chemical products industry indices. The three major indices with the Chinese Commodity Index (CCI) together constitute the Chinese commodity futures price index system.Finally, we use empirical method to research the features of Chinese Commodity Index (CCI).This paper selected the methods, such as correlation analysis, unit root test, cointegration test and Granger causality test, to study the relationship between Chinese Commodity Index (CCI) and macro-economic indices, such as CRB and CPI. It has been found that CCI and the internationally renowned CRB index have a close correlation, CCI index could reflect the international correlation between commodity markets. The study of CCI and CPI show that CCI leaded CPI about half a year. It is fully illustrated that the Chinese Commodity Index (CCI) has an economic early warning function.For the research of Chinese Commodity Index (CCI) investment function, this paper used Markowitz portfolio theory, mean-variance frontier (Mean-variance Frontier) to research the impact on the returns and risks of the Chinese Commodity Index(CCI) as a commodity asset adding to an investment portfolio. The portfolio mean-variance frontier and the Sharpe ratio results obtained from research suggest that futures asset adding to the portfolio would improve the result. It is the theoretical foundation for the CCI to Index Investing.The paper used Matlab calculation soft to complete the compiling of Chinese Commodity Index (CCI), involving the data processing, index calculation and some empirical research. While providing the real-time data, Chinese Commodity Index (CCI) can be real-time.