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研究生:蔡艾秝
研究生(外文):Tsai, Ai-Li
論文名稱:中國商品指數之編製與資產配置策略
論文名稱(外文):Construction of China Commodity Index and Strategic Asset Allocation
指導教授:張焯然張焯然引用關係
指導教授(外文):Chang, Jow-Ran
學位類別:碩士
校院名稱:國立清華大學
系所名稱:計量財務金融學系
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2012
畢業學年度:100
語文別:中文
論文頁數:44
中文關鍵詞:中國商品期貨商品指數轉倉報酬
外文關鍵詞:China commodity futurescommodity indexrolling return
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  美國期貨業協會 (Futures Industry Association, FIA) 統計資料顯示,至2010年底,中國商品期貨市場規模已經超越美國,成為全球最大商品期貨市場。然而,中國期貨市場發展至今,中國尚無一具有公信力的商品指數能反映大宗商品價格趨勢。目前,美國較具有代表性的商品指數S&P GSCI、DJ-UBS CI與TRJ/CRB等,其衍生性商品已於芝加哥商品交易所或紐約期貨交易所交易。
  Bodie and Rosansky (1980)、Kaplan and Lummer (1998)、Gorton and Rouwenhorst (2006) 研究發現,視商品為一種資產,基於其與股票及債券間負相關之特性,將商品加入股票與債券的投資組合中,可以降低投資組合風險,提高效率;商品為一實質資產,因此能反映通貨膨脹的變化,商品與通貨膨脹率正向相關,可有效規避通貨膨脹風險。
  本研究以提升投資組合效率及規避通貨膨脹風險為目的建構兩種中國商品指數。指數編製以長期持有期貨為基礎,然而,期貨合約有特定的到期日,因此,期貨合約到期前必須進行轉倉。期貨合約報酬包含轉倉報酬與資本報酬,長期持有期貨下,應將轉倉報酬納入指數的編算。S&P GSCI、DJ-UBS CI與TRJ/CRB皆每月轉倉一次,使用近月合約價格編製商品指數。然而,中國商品期貨合約交易通常具有週期性,並非近月合約有最大交易量,因此,不適合以近月合約價格建構商品指數。於此研究中,我們依據商品期貨合約交易的規律性訂定不同的轉倉方式,並依提升投資組合效率及規避通貨膨脹風險之目的彙編中國商品指數。

Based on the information from Futures Industry Association (FIA), the scale of the commodity futures market in China exceeded the U.S. and let the former become the largest commodity futures market in the world at the end of 2010. However, the commodity index in China has not been well established such that it is not recognized as the reliable measure of general commodity price movement.
Bodie and Rosansky (1980), Kaplan and Lummer (1998) and Gorton and Rouwenhorst (2006) pointed out that stocks and bonds are negatively correlated with commodity futures. As a result, a mixed portfolio of stocks and commodity futures are more efficient than a stand-alone stock portfolio. In addition, commodity is a real asset such that their price can reflect the variation of inflation. The positive correlation of commodity futures with inflation can also provide a good inflation hedge.
We constructed the China Commodity Indexes that are designed to improve the efficiency of portfolio and provide a hedge against inflation. In order to maintain a long position of futures continuously, investing in futures requires that the investor roll his or her exposure. The futures return consists of rolling return and capital gain and we calculate the futures return including rolling return. S&P GSCI, DJ-UBS CI and TRJ/CRB are calculated by rolling the first nearby futures contracts monthly. However, the first nearby futures contract is not the highest volume of contract in the market of China’s commodity futures. We set a specific rolling method in the light of commodity trading characteristics and established the China Commodity Indexes that are focused on the efficiency of portfolio and inflation hedge.

摘要 i
Abstract ii
目錄 iii
表目錄 v
圖目錄 vi
第一章 緒論 1
1.1 研究動機 1
1.2 研究目的 4
第二章 文獻回顧 6
第三章 研究方法 9
3.1 單一商品指數價格之計算 9
3.2 商品指數權重配置 12
3.2.1 提升投資組合效率之商品指數 12
3.2.2 規避通貨膨脹風險之商品指數 15
第四章 實證研究結果與分析 20
4.1 資料來源 20
4.2 實證結果與分析 23
4.2.1 單一商品指數 23
4.2.2 提升投資組合效率之商品指數 28
4.2.3 規避通貨膨脹風險之商品指數 30
第五章 結論 32
參考文獻 33
附錄 35
A. 單一商品指數 35


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Dow Jones. (2011). The Dow Jones-UBS Commodity Index Handbook.

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Erb, C. B. and C. R. Harvey, (2005). “The Tactical and Strategic Value of Commodity Futures.” NBER Working Paper 11222.

Erb, C. B. and C. R. Harvey (2006). “The strategic and tactical value of commodity futures.” Financial Analysts Journal, 62 (2), 69-97

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Futures Industry Association. (2011). 2010 Record Volume.

Gorton, G. B. and K. G. Rouwenhorst (2006). “Facts and fantasies about commodity futures.” Financial Analysts Journal, 62 (2), 47-68.

Gorton, G. B., F. Hayashi and K. G. Rouwenhorst (2007). “The fundamentals of commodity futures returns.” NBER Working Paper 13249.

Greer, R. J. (2000). “The nature of commodity index returns.” The Journal of Alternative Investments, 3 (1), 45-52.

Jensen, G. R., R. R. Johnson and J. M. Mercer (2000). “Efficient use of commodity futures in diversified portfolios.” The Journal of Futures Markets, 20 (5), 489-506.

Kaplan, P. D. and S. L. Lummer (1998). “Update: GSCI collateralized futures as a hedging and diversification tool for institutional portfolios.” The Journal of Investing, 7 (4), 11-17.

Ma, C. K., J. M. Mercer and M. A. Walker (1992). “Rolling over futures contracts: A note.” The journal of Futures Markets, 12 (2), 203-217.

Reuters. (2011). The Thomson Reuters Continuous Commodity Index.

Reuters. (2010). The Thomson Reuters/Jefferies CRB Index Calculation Supplement.

Standard & Poor’s. (2011). The S&P GSCI Index Methodology.

Streifel, S. (2006). “Impact of China and India on global commodity markets focus on metals & minerals and petroleum.” World Bank.

Tang, K. and W. Xiong (2010). “Index investment and financialization of commodities.” NBER Working Paper 16385.

Xin, Y., G. M. Chen and M. Firth (2006). “The efficiency of the Chinese commodity futures markets: development and empirical evidence.” China & World Economy, 14 (2), 79-92.

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