商品期货合约定价及影响因素研究
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摘要
本文所要解决的基本问题是商品期货合约如何定价?并在这个基础上讨论了两个派生问题:1、参与相同品种商品期货合约交易的主体结构是否对商品期货合约定价产生影响?2、标的商品现货市场的波动如何影响商品期货合约的价格?
商品期货合约是一种标准化的商品远期交易契约,相同品种的商品期货合约在标的物的品质、交易单位以及交割时间方面都作了统一规定,而期货合约中的交割价格是通过市场公开竞争报价决定。期货市场的报价不仅体现交易者对标的商品在交割时愿意承担的交易价格,而且也是对商品未来价格的估计。商品期货合约价格则代表了这种估计与未来实际价格之间存在的偏差,以及期货合约持有者在单张合约上的损益。作为商品期货市场价格体系中的一个重要组成部分,商品期货合约价格有两个显著特点:1、由于期货交易允许卖空,商品期货合约价格可能为负值;2、作为预期与实际价格之间的偏差,商品期货合约价格的大小直接度量期货交易的风险程度。因此对商品期货合约定价的研究对解释期货价格变动趋势、交易者行为以及期货市场风险的构成都有重要意义。
在这篇论文中我们将商品期货市场的参与者分为标的商品生产商、标的商品加工商和投机者三类,在现货、期货以及证券市场同时存在的条件下,分别建立市场主体的终期消费函数,利用效用最大化的一阶条件,在期货、现货市场同时均衡的框架内,构建了一个关于商品期货合约定价的两期比较静态模型。
模型证明商品期货合约价格是对承受资本市场的系统性风险和商品期货市场中非系统性风险两部分风险溢价的总和,其绝对值与参与商品期货交易的投机者数量呈反比,投机者数量越多,商品期货合约价格的绝对值越小。这时商品期货交易的风险越小,商品期货价格越平稳,商品期货的价格发现功能越突出。
在参与商品期货交易者总数不变的前提下,参与商品期货交易的初级产品生产商越少,商品期货风险溢价下偏,空头利润增加或减低空头损失。参与商品期货交易的加工商越少,如果商品期货风险溢价有上升趋向,对多头有利。如果商品期货交易成本为零,投机者数量增加使得商品期货市场的风险溢价完全由市场的系统风险溢价构成,这时如果商品期货市场和证券市场无关,那么期货价格就是未来现货价格的无偏估计。
当标的商品现货市场需求增加,在预期商品期货合约价格为正值的情况下,都将会使商品期货合约的价格上升,扩大交易风险并增加多头收益。相反,在预期商品期货合约价格为负值的情况下,那么需求增涨引起初级产品价格上升将使商品期货合约价格的绝对值减低,减少交易风险和引起多头损失。如果标的商品现货市场需求减少,在预期商品期货合约价格为正值的情况下,将引起商品期货合约的价格减低,减少交易风险并降低空头损失。相反,在预期商品期货合约价格为负值的情况下,那么商品期货合约价格的绝对值增加,扩大交易风险和增加空头收益。
与传统的“便利收益”和“无套利期货定价”理论相比,本文推出的模型对商品期货合约价格有更强的解释能力,而且模型中使用的主要变量在现实中更容易找到对应的样本,因此具有良好的实用性和计量特性。
There are three issues we discussed in this paper. First, how mach is the commodity futres contracts? Seconde, what infection would be made for the price of commodity futures contracts when the diffierient structure of dealors in futures markets? Third, how variation of the price of commodity futures contracts would be when shocking in spot markets?
Commodity futures contracts are the kinds of contracts of forward goods trade. Same qualitative、amount and delivery time of subject commodity are claimed in same commodity futures contracts, and the price of subject commodity at delivery time is decided by openly competition. The price in future markets not only declares the willing of dealer affording at delivery time, but also denotes the expectation of dealer for forward price of subject commodity. The forward price of subject commodity in spot minus the price in future markets is the price of commodity futures contracts, which represents the profit and loses of dealer too. As an important part in the price system of future markets, the price of commodity futures contracts have two characters: first, the price of commodity futures contracts would be less then zero because of the rule of short selling in future markets; second, as the differentials between expectation price and factual price of subject commodity in forward, the magnitude of the price of commodity futures contracts measures the risk degree in future markets. So there is an impotent significance to study of the price of commodity futures contracts.
By dividing the dealers in future markets to primary producers and processors of subject commodity and speculators, under the circumstance of existing spot markets and future markets, we building the consume function of each dealers. Based on the utility maximum by solving the first order derivative of consume functions, we build a two-stage static model of commodity futures Contracts price. Then we discuss the effect for the price of commodity futures Contracts price with the stats of changing in compose of dealers and the shocking in spot markets.
The model we have developed demonstrates that the commodity futures contracts price is composed of the systematically risk premiums and the unsystematically risk premiums. We prove that the absolute value of the risk premiums has an inverse relationship with the number of speculators. When the amounts of speculators increases, the absolute value of the commodity futures contract price and the transition risk in future markers will decrease, the price in commodity future markets will be settle stability, and the function of price discover will be developed sufficiently.
Keep the whole amount of dealers constant, the risk premiums would decline when the amounts of primary suppliers diminish, and the short position has an advantage. The risk premiums would arise when the amounts of processors diminish, and the long position has an advantage. Under the zero of the cost of transaction, with the increasing speculators, the risk premium would be decided by the premium of whole system risk. And if the affection of equity capital market is ruled out, the futures price is the price in future spot markets.
With positive expected price in futures markets, when demand increase, the price of commodity futures contracts would be rise, and the risk in futures markets enhances too, which expend the profits of long position, and vice versa. With negative expected price in futures markets, when demand decrease, the price of commodity futures contracts would be bring down, and the risk in futures markets declines too, which expend the profits of short position, and vice versa. Meanwhile, it is demonstrated that condition of price in spot markets decided by commodity futures price is that there are many dealers in commodity markets. When the amount of the primary producers or processors is small, the futures contracts price has the trend of offset up or down. And the offset up will be increased as there are dealers in future markets who do not invest in both futures and securities markets. The positive shock to the spot market produces against the primary product price will cause the offset between the futures price and vice-versa。
Compared with tradition theories of“Convenience Yield-Cost of carry)”and“arbitrage-free model of futures pricing”, the model built in the paper have more power ability for explanting the circumstance in future markets. The model owns batter characters for practical and metrological employing because the variables used in the model can be found easily the matched samples.
商品期货合约是一种标准化的商品远期交易契约,相同品种的商品期货合约在标的物的品质、交易单位以及交割时间方面都作了统一规定,而期货合约中的交割价格是通过市场公开竞争报价决定。期货市场的报价不仅体现交易者对标的商品在交割时愿意承担的交易价格,而且也是对商品未来价格的估计。商品期货合约价格则代表了这种估计与未来实际价格之间存在的偏差,以及期货合约持有者在单张合约上的损益。作为商品期货市场价格体系中的一个重要组成部分,商品期货合约价格有两个显著特点:1、由于期货交易允许卖空,商品期货合约价格可能为负值;2、作为预期与实际价格之间的偏差,商品期货合约价格的大小直接度量期货交易的风险程度。因此对商品期货合约定价的研究对解释期货价格变动趋势、交易者行为以及期货市场风险的构成都有重要意义。
在这篇论文中我们将商品期货市场的参与者分为标的商品生产商、标的商品加工商和投机者三类,在现货、期货以及证券市场同时存在的条件下,分别建立市场主体的终期消费函数,利用效用最大化的一阶条件,在期货、现货市场同时均衡的框架内,构建了一个关于商品期货合约定价的两期比较静态模型。
模型证明商品期货合约价格是对承受资本市场的系统性风险和商品期货市场中非系统性风险两部分风险溢价的总和,其绝对值与参与商品期货交易的投机者数量呈反比,投机者数量越多,商品期货合约价格的绝对值越小。这时商品期货交易的风险越小,商品期货价格越平稳,商品期货的价格发现功能越突出。
在参与商品期货交易者总数不变的前提下,参与商品期货交易的初级产品生产商越少,商品期货风险溢价下偏,空头利润增加或减低空头损失。参与商品期货交易的加工商越少,如果商品期货风险溢价有上升趋向,对多头有利。如果商品期货交易成本为零,投机者数量增加使得商品期货市场的风险溢价完全由市场的系统风险溢价构成,这时如果商品期货市场和证券市场无关,那么期货价格就是未来现货价格的无偏估计。
当标的商品现货市场需求增加,在预期商品期货合约价格为正值的情况下,都将会使商品期货合约的价格上升,扩大交易风险并增加多头收益。相反,在预期商品期货合约价格为负值的情况下,那么需求增涨引起初级产品价格上升将使商品期货合约价格的绝对值减低,减少交易风险和引起多头损失。如果标的商品现货市场需求减少,在预期商品期货合约价格为正值的情况下,将引起商品期货合约的价格减低,减少交易风险并降低空头损失。相反,在预期商品期货合约价格为负值的情况下,那么商品期货合约价格的绝对值增加,扩大交易风险和增加空头收益。
与传统的“便利收益”和“无套利期货定价”理论相比,本文推出的模型对商品期货合约价格有更强的解释能力,而且模型中使用的主要变量在现实中更容易找到对应的样本,因此具有良好的实用性和计量特性。
There are three issues we discussed in this paper. First, how mach is the commodity futres contracts? Seconde, what infection would be made for the price of commodity futures contracts when the diffierient structure of dealors in futures markets? Third, how variation of the price of commodity futures contracts would be when shocking in spot markets?
Commodity futures contracts are the kinds of contracts of forward goods trade. Same qualitative、amount and delivery time of subject commodity are claimed in same commodity futures contracts, and the price of subject commodity at delivery time is decided by openly competition. The price in future markets not only declares the willing of dealer affording at delivery time, but also denotes the expectation of dealer for forward price of subject commodity. The forward price of subject commodity in spot minus the price in future markets is the price of commodity futures contracts, which represents the profit and loses of dealer too. As an important part in the price system of future markets, the price of commodity futures contracts have two characters: first, the price of commodity futures contracts would be less then zero because of the rule of short selling in future markets; second, as the differentials between expectation price and factual price of subject commodity in forward, the magnitude of the price of commodity futures contracts measures the risk degree in future markets. So there is an impotent significance to study of the price of commodity futures contracts.
By dividing the dealers in future markets to primary producers and processors of subject commodity and speculators, under the circumstance of existing spot markets and future markets, we building the consume function of each dealers. Based on the utility maximum by solving the first order derivative of consume functions, we build a two-stage static model of commodity futures Contracts price. Then we discuss the effect for the price of commodity futures Contracts price with the stats of changing in compose of dealers and the shocking in spot markets.
The model we have developed demonstrates that the commodity futures contracts price is composed of the systematically risk premiums and the unsystematically risk premiums. We prove that the absolute value of the risk premiums has an inverse relationship with the number of speculators. When the amounts of speculators increases, the absolute value of the commodity futures contract price and the transition risk in future markers will decrease, the price in commodity future markets will be settle stability, and the function of price discover will be developed sufficiently.
Keep the whole amount of dealers constant, the risk premiums would decline when the amounts of primary suppliers diminish, and the short position has an advantage. The risk premiums would arise when the amounts of processors diminish, and the long position has an advantage. Under the zero of the cost of transaction, with the increasing speculators, the risk premium would be decided by the premium of whole system risk. And if the affection of equity capital market is ruled out, the futures price is the price in future spot markets.
With positive expected price in futures markets, when demand increase, the price of commodity futures contracts would be rise, and the risk in futures markets enhances too, which expend the profits of long position, and vice versa. With negative expected price in futures markets, when demand decrease, the price of commodity futures contracts would be bring down, and the risk in futures markets declines too, which expend the profits of short position, and vice versa. Meanwhile, it is demonstrated that condition of price in spot markets decided by commodity futures price is that there are many dealers in commodity markets. When the amount of the primary producers or processors is small, the futures contracts price has the trend of offset up or down. And the offset up will be increased as there are dealers in future markets who do not invest in both futures and securities markets. The positive shock to the spot market produces against the primary product price will cause the offset between the futures price and vice-versa。
Compared with tradition theories of“Convenience Yield-Cost of carry)”and“arbitrage-free model of futures pricing”, the model built in the paper have more power ability for explanting the circumstance in future markets. The model owns batter characters for practical and metrological employing because the variables used in the model can be found easily the matched samples.
引文
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48、Dusak,Katherine.“Futures Trading and Investor returns:An Investigation of Commodity Market Risk Premiums.”[J]The Journal of Political Economy,(Nov.-Dec.,1973),pp.1387-1406;
49、Elton,Edwin,Gruber,Martin,and Rentzler,Joel C.“Publicly Offered Commodity Funds”[J]Financial Analyst Journal, (July-Aug. 1990)pp. 367-403;
50、Fama,E.F.“Efficient Capital Markets:A Review of Theory and Empirical Work.”[J]Journal of Finance,25(1970),383—416;
51、Fama,Eugene,and MacBeth,J.“Risk, return, and Equilibrium: Empirical Teats,”[J] Journal of Political Economics,71(May/June 1973), pp.607-636;
52、Fama,E.F. ,K. R. French,“Commodity Futures Price:Some Evidence on Forecast Power,Premiums,and the Theory of Storage”, [J] Journal of Business,60(1),1987,pp.55-73;
53、Frans A. De Roon, Theo E. Nijman, Chris Veld“Pricing Trem Structure Risk in Futures Markets”[J] Journal of Financial and Quantitative Analysis, Vol.33, No.1, (March, 1998) ,pp139-157;
54、Fort Rodney; Quirk James“Normal Backwardation and the Inventory Effect”[J]The Journal of Political Economy, Vol. 96, No. 1. (Feb., 1988), pp. 81-99;
55、Gray. Roger, W“The Search for a Risk Premium”Journal of Political Economics”[J]Vol69, No.3.(June 1961), pp.250-260;
56、Gibbons,Michael R.,“Multivariate teasts of Financial Models: A New Approach,”[J]Journal of Financial Economics,No.1(March 1982), pp.3-28;
57、Hicks,John R.“Value and Capital:An Inquiry into Some Fundamental Principles of Economic Theory”[M] Oxford:Clarendon,1939;
58、Hirshleifer,David.“Futures Trading, Storage and the Division of Risk: A Multiperiod Analysis.”[J]The Economic Journal, (Sep. 1989), pp. 700-719;
59、Hirshleifer,David.“Residual Risk,Trading Costs,and CommodityFutures Risk Premia.”[J] The Review of Financial Studies. Vol.1, No. 2. (Summer, 1988), pp. 173-193;
60、Hardy, Charles O.“Risk and Risk Bearing.”[M] Chicago: Univ. Chicago Press, 1940;
61、Houthakker,H.S.“Can Speculators Forecast Prices?”[J]Review of Economy and Statistics,(1957),pp.143-151;
62、Jian Yang,Jin Zhang,David J L.“Price and volatility transmission in international wheat futures markets”[J].Annals of Economics and Finance(,2003)Vol 4,pp. 37- 50;
63、Keynes,John Maynard.“some Aspects of Commodity Markets”[M] Manchester Guardian Commercial(March 29,1927),pp.784-86;
64、Kamara , Avraham.“Production Flexibility, Stochastic Separation, Hedging, and Futures Prices”[J] Review of Financial Studies, (Winter.1993), pp. 935-957;
65、Litzenberger,R. H, Rabinowitz.“Backwardation in Oil Futures Markets:Theory and Empirical Evidence”[J]The Journal of Finance,(1995),pp.1517-1545;
66、Louis Ederington,Jae Ha Lee“Who Trades Futures and How:Evidence from the Heating Oil Futures Market”,Journal of Business,Vol.75,No.2 (Apr., 2002), pp. 353-373;
67、Mayers,D.“Non-Marketable Assets and Capital Market Equilibrium under Uncertainty.”[M]In Studies in the Theory Capital Markets,M. C. Jensen(ed.)New York:Praeger,(1972);
68、Marcus, J. Alan“Efficient Asset Portfolios and the Theory of Normal Backwardation: A Comment”[J]The Journal of Political Economy, Vol. 92, No. 1. (Feb., 1984), pp. 162-164;
69、Marcus J.Alan,Modest David M.“Futures Markets and Production Decisions”[J]The Journal of Political Economy, Vol. 92, No.3. (Jun, 1984), pp.409-426;
70、Pirrong, Ng. V. K, S. C.“Fundamentals and Volatility:Storage, Spreads, and the Dynamics of Metals Prices.”[J]Journal of Business,(1994),pp203-230;
71、Paul H. Cootner“Returns to Speculators: Telser versus Keynes”[J] The Journal of Political Economy, Vol. 68, No. 4. (Aug., 1960), pp. 396-404;
72、Raj Aggarwal ,P. S, Sundcrraghavan“Efficiency of the Silver Futures Market -An Empirical Study Using Daily Data”[J]Journal of Finance, 1987,(11),pp49-64;
73、Robert H. Litzenberger; Nir Rabinowitz“Backwardation in Oil Futures Markets: Theory and Empirical Evidence”[J] The Journal of Finance, Vol. 50, No. 5. (Dec., 1995), pp. 1517-1545;
74、Samuelson,P.A.:“Proof that Properly Discounted Present Values of Assets Vibrate Randomly.”[J]Journal of Economics and management Science,4(1973),pp.369—374;
75、Sandmo Agnar,“On the Theory of the Competitive Firm Under Price Uncertainy.”[J] American Economic Review, Vol. 61, No. 1 (March, 1971), pp. 65-73;
76、Schrock,Nichols W.“The Theory of Asset Choice:Simultaeous Holding of Short and Long Posistins in the Futures market”[J]The Journal of Political Economy, Vol. 79, (March/April, 1971), pp. 41-49;
77、Shefrin H. M.“Transaction Coasts,Uncertainty and Generally Inactive Futures Markets”[J] The Review of Economic Studies,Vol. 48,No.1. (Jan., 1981), pp.131-137;
78、Sharpe,William F.“Capital Asset Prices:A Theory of Market Equilibrium under conditions of risk.”[J]The Journal of Finance,(Sep,1964),pp.425- 442.
79、Solt Michael E,Paul J. Swanson“On the Efficiency of the Markets for Gold and Silver”[J]Journal of Business, (Jul, 1981), pp. 453-478.
80、Stoll,H. R.“Commodity Futures and spot Price Determination and Hedging in Capital Market Equilibrium.”[J]Journal of Finance and Quantitative Analysis,(Nov. 1979),pp.873-894.
81、Telser,Lester G.“Futures Trading and the Storage of Cotton and Wheat”[J]The Journal of Political Economy,(Jun,1958)pp.233-255.
82、Townsend,Robert M.“On the Optimality of Forward Markets.”[J]The American Economic Review,(Mar, 1978), pp. 54-66.
83、Yang. J., Bessler. D. A. ,Leatham. D.J.,“Asset Storability and Price Discovery in Commodity Futures Markets: A New Look”[J]The Journal of Futures Markets,(21),2001,pp.3279-3300;
84、Victor K. Ng; Stephen Craig Pirrong“Fundamentals and Volatility: Storage, Spreads, and the Dynamics of Metals Prices”[J] The Journal of Business, Vol. 67, No. 2. (Apr., 1994), pp. 203-230;
①详见[美]兹维.博迪和罗伯特.C.莫顿/著《金融学》,第三章,P135,中国人民大学出版社2000年版。
1、约翰.c.赫尔《期权期货入门(第三版)》,(M)中国人民大学出版社;
2、埃得温.J.埃尔顿,马丁.J.格鲁伯,斯蒂芬.J.布郎,威廉.N.戈茨曼,《现代投资组合理论和投资分析(第六版)》,(M)中国人民大学出版社;
3、兹维.博迪和罗伯特.C.莫顿/著《金融学》,中国人民大学出版社2000年版;
4、(美)古扎拉蒂、林少宫译,《计量经济学(中译本第三版)》,(M)中国人民大学出版社,2000;
5、陈毅恒、黄长全译,《时间序列与金融数据分析》,(M)中国统计出版社,2004;
6、罗孝琳,《期货上市交易品种大全》,(M)经济科学出版社,2005年;
7、李经谋、童宛生主编,《中国期货市场运行机制》,(M)中国财政经济出版社,1997年;
8、刘军峰“基于协整理论的中国商品期货市场与现货市场长期均衡关系的研究”(P)天津大学硕士学位论文,2004;
9、康敏“中国农产品期货市场功能与现货市场关系研究”(P)中国农业大学博士学位论文,2005;
10、贾玉贺“中国期货市场的有效性研究—基于大豆期货市场的实证分析”(P)暨南大学硕士学位论文,2005;
11、林琳“石油期货价格和现货价格的关系研究一一基于延期交割费的协整分析”(P)南京理工大学硕士学位论文,2006;
12、徐剑刚“我国期货市场有效性的实证研究”(J)《财贸经济》,1995年第8期,p14-18;
13、赵亚平“试析我国现货市场中制约期货市场发展的几个问题”(J)《兰州商学院学报》,1994年第2期,p42-44;
14、吴冲锋、何勇、李卫东“期货价格及其模型初探”(J)《系统工程理论方法应用》,1994年4月第3卷第4期,p71-77;
15、徐剑刚“期货报酬时间序列统计特性”(J),《统计研究》,1997年第3期,p70-73;
16、李延喜、栾庆伟、姜秀英“期货交易中的价格均衡定价模型”(J)《经济管理学报》1998年第6期,p65-71;
17、王志强,徐亚范,朱丽红“大连商品交易所市场有效性检验”(J)《财经问题研究》,1998年第12期,p36-41;
18、贺涛、鲍建平“粮食期货市场的功能分析与对策”(J)《财经研究》,1998年第10期,p42-47;
19、贺涛“上海粮食期货市场价格发现功能分析”(J)《华东经济管理》,1999年第3期,p51-56;。
20、华仁海、仲伟俊“对我国期货商场价格发现功能的实证分析”(J)《南开管理评论》,2002年第5期,p61-64;
21、华仁海、仲伟俊“上海期货交易所期货价格有效性的实证检验”(J)《数量经济技术经济研究》,2003年第1期,p27-32;
22、华仁海、陈百助“国内、国际期货市场期货价格之间的关联研究”,(J)《经济学季刊》2004年4月第3期,p727-740;
23、刘志新,贾宁“沪铜期现货市场波动率的互动关系研究及国际比较”(J)《中国管理科学》,2004年10月,p248-251;
24、侯晓鸿、曾继民、李一智“市场弱型有效检验方法研究—兼论我国商品期货市场效率”(J)《管理工程程学报》,2000年1月,p27-31。
25、王益“沪铜期货的弱式市场有效性检验”(J)《统计观察》,2005年1月,p23-27;
26、商如斌、伍旋“期货市场有效性理论与实证研究”(J)《管理工程学报》,2000年4月,p31-35;
27、徐剑刚“我国期货市场有效性的实证研究”(J)《财贸经济》1995年8月,p26-29;.
28、王立杰、苟三权“上海燃料油期货市场有效性的随机游走检验”(J)《资本市场》,2006年第8期,p37-39;
29、刘凤军、刘勇“期货价格与现货价格波动关系的实证研究——以农产品大豆为例”(J)《财贸经济》,2006年第8期,p77—81;
30、夏天、程细玉“国内外期货价格与国产现货价格动态关系的研究—基于DCE和CBOT大豆期货市场与国产大豆市场的实证分析”(J)《金融研究》,2006年第2期,p110-117;
31、蒋贤锋、史永东“期货市场保证调整的市场风险控制作用及制度改革”(J)《金融研究》,2007年第5期,p74-88;
32、吴芳“棉花期货的价格发现模型探讨”(P)首都经济贸易大学硕士学位论文,2006;
33、Alan J. Marcus、David M. Modest,“Futures Markets and Production Decisions”[J]The Journal of Political Economy, Vol. 92,No. 3. (Jun., 1984), pp. 409-426;
34、Bessembinder, H,“Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets”[J] The Review of Financial Studies, (1992), pp.637-669;
35、Bodie,ziv. and Rosansky,Victor.“Risk and Return in Commodity Futures.”[J] Financial Analysts Journal,(May 1980)pp.527-549;
36、Black,F.,Jensen,M.C.and Scholes.M,“The Capital Asset Pricing Model: Some Empirical Tests,”[J] in Jensen(ed.), Studies in the Theory of Capital Markets(New York: Praeger, 1972);
37、Bessler. D.A. and Covey. T.,“Co-integration: Some Results on U.S. Cattle Prices”,The Journal of Futures Markets,(November 1991)pp.461-474;
38、Breeden, D. T.“Futures Markets and Commodity Options: Hedging and Optimality in Incomplete Markets.”[J] Journal of Economic Theory,(Jan 1984)pp.275-300;
39、Bodie,ziv.“Commodity Futures as a Hedge Against Inflation.”[J]Journal of Portfolio Management, (Spring 1983),pp.167-179;
40、Booth. G.,So. R.,Tse. Y.,“Price Discovery in the German Equity Index Derivatives Markets”,The Journal of Futures Markets ,(Vol19,1999),pp.6619-6643;
41、Carter ,A Colin、Rausser. C Gordon、Schmitz. Andrew.“Efficient Asset Portfolios and the Theory of Normal Backwardation”The Journal of Political Economy, Vol. 91,No. 2. (Apr., 1983) ,pp.319-331.
42、Chang,Eric C.“Returns to Speculators and the Theory of Normal Backwardation”[J]The Journal of Finance,(Mar,1985),pp.193-208;
43、Changyun wang,“The Behavior and Performance of Major Types of Futures Traders”[J]Journal of Futures Markets, Vol. 23, No. 1,2003, pp.1–31;
44、Constantinides, G.,“Capital Market Equilibrium with Transaction Costs”[J]Journal of Political Economics,94(May/June 1986), pp842-862;
45、Casassus Jaime, Pierre Collin-Dufresne, Routledge Bryan R.“,Equilibrum Commodity Prices with Irrebersible Investment and Non-linear Technology”[J]National Bureau of Economic Reserch;Working Paper 11864 (2005), http://www.nber.org/papers/w11864;
46、Danthine,Lean Pierre.“1nformation,Futures Prices and Stabilizing speculation”, [J]Journal of Economical Theory,Vol 17,(February 1978)pp79-98;
47、Diamond, D. W., and R. E. Verrchia“Optimal Managerial of Contracts and Equilibrium Security Prices”[J].Journal of Finance, 37(May 1982), pp.275-287;
48、Dusak,Katherine.“Futures Trading and Investor returns:An Investigation of Commodity Market Risk Premiums.”[J]The Journal of Political Economy,(Nov.-Dec.,1973),pp.1387-1406;
49、Elton,Edwin,Gruber,Martin,and Rentzler,Joel C.“Publicly Offered Commodity Funds”[J]Financial Analyst Journal, (July-Aug. 1990)pp. 367-403;
50、Fama,E.F.“Efficient Capital Markets:A Review of Theory and Empirical Work.”[J]Journal of Finance,25(1970),383—416;
51、Fama,Eugene,and MacBeth,J.“Risk, return, and Equilibrium: Empirical Teats,”[J] Journal of Political Economics,71(May/June 1973), pp.607-636;
52、Fama,E.F. ,K. R. French,“Commodity Futures Price:Some Evidence on Forecast Power,Premiums,and the Theory of Storage”, [J] Journal of Business,60(1),1987,pp.55-73;
53、Frans A. De Roon, Theo E. Nijman, Chris Veld“Pricing Trem Structure Risk in Futures Markets”[J] Journal of Financial and Quantitative Analysis, Vol.33, No.1, (March, 1998) ,pp139-157;
54、Fort Rodney; Quirk James“Normal Backwardation and the Inventory Effect”[J]The Journal of Political Economy, Vol. 96, No. 1. (Feb., 1988), pp. 81-99;
55、Gray. Roger, W“The Search for a Risk Premium”Journal of Political Economics”[J]Vol69, No.3.(June 1961), pp.250-260;
56、Gibbons,Michael R.,“Multivariate teasts of Financial Models: A New Approach,”[J]Journal of Financial Economics,No.1(March 1982), pp.3-28;
57、Hicks,John R.“Value and Capital:An Inquiry into Some Fundamental Principles of Economic Theory”[M] Oxford:Clarendon,1939;
58、Hirshleifer,David.“Futures Trading, Storage and the Division of Risk: A Multiperiod Analysis.”[J]The Economic Journal, (Sep. 1989), pp. 700-719;
59、Hirshleifer,David.“Residual Risk,Trading Costs,and CommodityFutures Risk Premia.”[J] The Review of Financial Studies. Vol.1, No. 2. (Summer, 1988), pp. 173-193;
60、Hardy, Charles O.“Risk and Risk Bearing.”[M] Chicago: Univ. Chicago Press, 1940;
61、Houthakker,H.S.“Can Speculators Forecast Prices?”[J]Review of Economy and Statistics,(1957),pp.143-151;
62、Jian Yang,Jin Zhang,David J L.“Price and volatility transmission in international wheat futures markets”[J].Annals of Economics and Finance(,2003)Vol 4,pp. 37- 50;
63、Keynes,John Maynard.“some Aspects of Commodity Markets”[M] Manchester Guardian Commercial(March 29,1927),pp.784-86;
64、Kamara , Avraham.“Production Flexibility, Stochastic Separation, Hedging, and Futures Prices”[J] Review of Financial Studies, (Winter.1993), pp. 935-957;
65、Litzenberger,R. H, Rabinowitz.“Backwardation in Oil Futures Markets:Theory and Empirical Evidence”[J]The Journal of Finance,(1995),pp.1517-1545;
66、Louis Ederington,Jae Ha Lee“Who Trades Futures and How:Evidence from the Heating Oil Futures Market”,Journal of Business,Vol.75,No.2 (Apr., 2002), pp. 353-373;
67、Mayers,D.“Non-Marketable Assets and Capital Market Equilibrium under Uncertainty.”[M]In Studies in the Theory Capital Markets,M. C. Jensen(ed.)New York:Praeger,(1972);
68、Marcus, J. Alan“Efficient Asset Portfolios and the Theory of Normal Backwardation: A Comment”[J]The Journal of Political Economy, Vol. 92, No. 1. (Feb., 1984), pp. 162-164;
69、Marcus J.Alan,Modest David M.“Futures Markets and Production Decisions”[J]The Journal of Political Economy, Vol. 92, No.3. (Jun, 1984), pp.409-426;
70、Pirrong, Ng. V. K, S. C.“Fundamentals and Volatility:Storage, Spreads, and the Dynamics of Metals Prices.”[J]Journal of Business,(1994),pp203-230;
71、Paul H. Cootner“Returns to Speculators: Telser versus Keynes”[J] The Journal of Political Economy, Vol. 68, No. 4. (Aug., 1960), pp. 396-404;
72、Raj Aggarwal ,P. S, Sundcrraghavan“Efficiency of the Silver Futures Market -An Empirical Study Using Daily Data”[J]Journal of Finance, 1987,(11),pp49-64;
73、Robert H. Litzenberger; Nir Rabinowitz“Backwardation in Oil Futures Markets: Theory and Empirical Evidence”[J] The Journal of Finance, Vol. 50, No. 5. (Dec., 1995), pp. 1517-1545;
74、Samuelson,P.A.:“Proof that Properly Discounted Present Values of Assets Vibrate Randomly.”[J]Journal of Economics and management Science,4(1973),pp.369—374;
75、Sandmo Agnar,“On the Theory of the Competitive Firm Under Price Uncertainy.”[J] American Economic Review, Vol. 61, No. 1 (March, 1971), pp. 65-73;
76、Schrock,Nichols W.“The Theory of Asset Choice:Simultaeous Holding of Short and Long Posistins in the Futures market”[J]The Journal of Political Economy, Vol. 79, (March/April, 1971), pp. 41-49;
77、Shefrin H. M.“Transaction Coasts,Uncertainty and Generally Inactive Futures Markets”[J] The Review of Economic Studies,Vol. 48,No.1. (Jan., 1981), pp.131-137;
78、Sharpe,William F.“Capital Asset Prices:A Theory of Market Equilibrium under conditions of risk.”[J]The Journal of Finance,(Sep,1964),pp.425- 442.
79、Solt Michael E,Paul J. Swanson“On the Efficiency of the Markets for Gold and Silver”[J]Journal of Business, (Jul, 1981), pp. 453-478.
80、Stoll,H. R.“Commodity Futures and spot Price Determination and Hedging in Capital Market Equilibrium.”[J]Journal of Finance and Quantitative Analysis,(Nov. 1979),pp.873-894.
81、Telser,Lester G.“Futures Trading and the Storage of Cotton and Wheat”[J]The Journal of Political Economy,(Jun,1958)pp.233-255.
82、Townsend,Robert M.“On the Optimality of Forward Markets.”[J]The American Economic Review,(Mar, 1978), pp. 54-66.
83、Yang. J., Bessler. D. A. ,Leatham. D.J.,“Asset Storability and Price Discovery in Commodity Futures Markets: A New Look”[J]The Journal of Futures Markets,(21),2001,pp.3279-3300;
84、Victor K. Ng; Stephen Craig Pirrong“Fundamentals and Volatility: Storage, Spreads, and the Dynamics of Metals Prices”[J] The Journal of Business, Vol. 67, No. 2. (Apr., 1994), pp. 203-230;