Research On The Common Influencing Factors Of Excess Returns In Commodity Futures Market

China's futures market originated in the nineteenth century.At that time,the price of agricultural products experienced fluctuations and became opaque owing to the cancellation of the planned purchase and supply system of agricultural products.In addition,a great loss had caused because most grain companies lacked a hedging mechanism to tackle the great fluctuation in the prices of agricultural products.Thus,in order to solve such problems,we learned from foreign futures market system.China's futures market was kicking off then.Later,China established Zhengzhou Commodity Exchange on October 12 th,1990,Dalian Commodity Exchange on February 28 th,1993,Shanghai Futures Exchange on December 21 st,1995,and on September 8th,2006,China Financial Futures Exchange was established.As economy develops and the futures trading market reform deepens,the capacity of China's futures market has continued to expand.As of June 20 th,2017,there are 16 commodity futures in Zhengzhou Commodity Exchange of China,16 commodity futures in Dalian Commodity Exchange,and 14 commodity futures in Shanghai Futures Exchange;China is preparing for listing crude futures.The transaction scale of China's futures market is increasing,and the futures are enriching,providing a sound environment for risk aversion for spot trading.In particular,as China's economy continues to grow,the pace of internationalization continues to advance,and the springing of import and export trade,a large number of commodities are flowing around the world,and the risks faced by spot transactions are also2 constantly highlighted.Therefore,as an important financial instrument for transferring risks,the commodity futures market has receiving increasing attention.As a big energy-consuming country,China's import volume of commodities such as copper,iron ore,and crude oil has repeatedly hit new heights.It is the largest soybean buyer in the international market,and a net importer of nickel,PTA and corn.As an l important consumer in the international commodity market,if China has not a clear understand of the price of bulk commodities,this will put China in a passive state,and the interests of domestic import and export companies will not be guaranteed.Therefore,it is very important to study pricing rules of futures.An in-depth understanding of futures pricing is conducive to guiding the spot price trend and better protecting the interests of import and export companies.Furthermore,the futures market has attracted investors' great attention as a capital market.If a pricing factor that is suitable for all types of futures can be found,we can provide a good guide to investors and enjoy an accurate prediction of futures prices.Most of the existing literature on futures prices analyzed pricing factors of commodity futures from the perspective of time series.However,the time series method cannot fully explain the price trend of all futures in the futures market.Therefore,this article explores a new way to study the futures market from a cross-sectional perspective.Based on the CAPM model,and taking the macro factors and unique factors of futures markets as explanatory variable,the risks common to the commodity futures market have been explained in this article.On the basis of the existing literature,this paper selects the exchange rate,industrial added value,cpi,ppi,and the supply of money(m2)as macro factors,and takes the basis spread,momentum,liquidity,and inventory as special factors in the futures market to study the overall risk.In the empirical research of cases,this thesis selects various rate of return from 17 futures products with long time-to-market in the commodity futures market as the object of the study and uses Fama-Mac Beth two-step method to test each risk factor.The sequence of model construction and testing is as follows: The first is the CAPM model which needs to test the macro factors and commodity-specific factors in3 the commodity futures market one by one as well as analyzing the influence of each factor on the entire commodity futures market.The second is to select factors with significant influence and construct a multi-factor model,in order to test jointly.The results show that,from a cross-sectional perspective,the exchange rate remains in the same rate as industrial value-added ratio,and open interest factor can explain risk and return of the entire commodity futures market to some extent.Moreover,this conclusion is significant in both test of monthly and quarterly data,but the adjustable coefficient of determination is about 50% in maximum.Therefore,the communality selected in this paper cannot completely explain the abnormal returns of the commodity futures market.According to the existing literature,there may be heterogeneity in commodity futures markets,and different commodity futures have different price drivers.In order to further explore the heterogeneity problems,this thesis uses the method of component analysis to construct the principal component factor and finds that the principal component factor cannot comprehensively explain the commodity futures yield which confirms from the side that the commodity futures market is subject to heterogeneity.And it also confirms that the price driving logic of different futures is inconsistent.Finally,this thesis has demonstrated the beta values from the various futures products derived from Fama-Mac Beth in first-step test.It is found that there is no single factor that is always significant for all commodity futures yields.It also confirms that there exists heterogenicity in the commodity futures market.In addition,although the momentum factor and the basis factor constructed in this paper are not ideal in terms of cross-sectional angles,the return rate for the past twelve months by buying the commodity stocks with a positive return rate for the past twelve months and selling the past twelve months at the same time the investment strategy formed by negative commodity futures has a positive return.The same is true for combination of basis.The commodity futures market can be used as a hedging instrument for the spot market.At the same time,due to its own heterogeneity,the trend of each species is also inconsistent.Investors can use commodity futures as an alternative investment product to supplement the investment portfolio,spreading risks and increasing profits.Therefore,researching the pricing theory of commodity futures is of great significance for hedging and investment.