| Bulk commodities are strategic resources related to the national economy and people’s livelihood,involving many industries and fields.As the world’s second largest economy,China maintains strong demand for bulk commodities.The violent price fluctuations of bulk commodities pose challenges to enterprise and national economic security.Commodity futures are futures that based on commodities as underlying.Research and development of commodity futures pricing theory can help to understand and avoid the risk of commodity price fluctuations.As an unique variable in the pricing of commodity futures,convenience yield measures the extra value of holding spots compared with futures,and helps to explain the no-arbitrage relationship between futures and spots prices observed in the reality.We can adopt appropriate hedging strategy or adjust purchasing strategy to avoid the risk of price fluctuation reasonably according to the change of convenience yield.We summarizes the domestic and foreign commodity literatures about futures pricing theory,and takes the convenience yield as the research object and hot-rolled coil as the empirical test object.We fully explore its numerical characteristics and influencing factors,then present the conclusions and practical suggestions.In the framework of no-arbitrage analysis,the risk premium model and the convenience yield model can be derived from the cost of carrying model.Based on the domestic and foreign literatures,we summarizes two mainstream pricing methods for convenience yield that using option theory,and analyzes the possible problems.We argues that the option attributes of convenience yield can only describe some properties of convenience yield.The explanatory ability is weak.In this paper,we choose the hot rolled coil as the object of empirical analysis,and its daily convenient yield value is calculated by the convenience yield model.The statistical results show that the convenience yield is stationary,and the volatility analysis shows that ARMA(1,1)-GARCH(1,1)can better fit the fluctuation characteristics of the convenience yield.The results indicate that the fluctuation of the convenience yield in the short-term is sustainable,but the large deviation will revert in the long run.The convenience yield under different term structures also shows the sequence stationary,and the short-term convenience income fluctuation is significantly larger than the long period.The regression analysis verifies that the relationship between convenience yield and inventory level is negatively correlated,positively correlated with marginal cost,and positively correlated with spots price volatility,which is in line with the theoretical conclusion.Further analysis found that the steel de-capacity policy launched by China in February 2016 led to a temporary failure of the relationship between convenience yield of the hot rolled coils and the variables.Based on the empirical conclusions,we can analyze the dynamic characteristics of the spots and futures prices in the current hot rolled coil market by tracking daily convenience yield and analyzing its behavioral characteristics.We proposes a futures-spots arbitrage strategy based on the cost of carrying model and the convenience yield model.Firstly,we summarize the trading rules according to the data in the sample.Then we do the back test analysis by using the data outside the sample.The results of back test show that the strategies under both models can achieve positive returns,but the cost of carrying model is better.The effectiveness of the arbitrage also indirectly indicates that the model pricing is relatively effective.We can grasp the arbitrage opportunities and reduce the inventory risk in real time by monitoring the spreads to improve the operating efficiency of the company. |
