Research On Pricing Of Commodity Risk Factors In Stock Market

Commodity as essential raw materials in industrial production, the price changes can affect price of a listed company’s share in the stock market though various channels. The main purpose of this paper is to study the commodities yield changes whether if have any impact on China’s A-share market of the Shanghai Stock Exchange. With help of the theoretical framework of the capital asset pricing model, We set the commodity gains as a factor in the pricing of the asset pricing model to test the effect of excess returns of the stock market by changes in commodity prices. With the development of Asset pricing model, from the traditional capital asset pricing model to the factors model, the stock market has a different applicability. So this paper also test the traditional CAPM model, the FF factor model in the effectiveness of the Shanghai A share market. The main content of this paper includes the following aspects:First of all, I theoretically derived the CAPM, the FF factor model and adding commodity factor asset pricing model, build a theoretical framework for asset pricing model and some of its expansion of the form. Secondly, on the basis of the existing asset pricing theory, We have come to a commodity price factor asset pricing mode. I test the asset pricing model that including the commodity factor, I find that commodity factor and other factors, such as market capitalization factor and book value factor, does not exist a correlation. So thet commodity price factor can not be replaced by other factors, it is a independent impact factor of China’s stock market gains. Last, I compare the results with the commodity factor asset pricing model, we find that commodity price changes affect our stock markets, but it is limited to compare with the influence of market value factor.