Research On Designing Of China Commodities Future Index

Commodities futures index, as an economic indicator and a financial derivative tool, it is helpful for government department, investor and investigator to hold and grasp commodity price. But china commodity future market hasn't seen its price index in its decade of development. Once it comes, it will be consider as very innovative, and get many supporting, but seldom commodities future index researches are even given by intestine researches. So, this paper has a try on the designing and compiling of china commodities future index.The paper firstly emphasizes the significance of commodities futures index for macroeconomic performance and capital market prosperity. Then, it sum up researches on commodities futures index as categories by three directions: compiling, application and analyzing. As a foundation of compiling the index, the index theory framework is also discussed.Four typical and successful indexes and three indexes from china are given and detailed in aspects of component and weight, compilihg and computing method, trading status; they are CRB (commodity research bureau) index, GSCI (Goldman Sachs Commodity Index), LMEX(London metal exchange) and CBOT X- Fund(Chicago Board of Trade). Their effects on some fields are discussed deeply.In the last chapter, china commodities futures index is put forth based on the theory and experiences discussed before. To get the index, we firstly compute the mathematic average for single commodity price, using price and trading volume of all contracts. Secondly, compute the mathematic average of all commodities, using the average price got in the first step and Turnover of trading of very...