摘要
在国际期货市场上,商品指数已经成为市场走势重要的风向标。而在国内市场上,商品指数的研究和开发还处于起步阶段。在国内为数不多的商品期货指数中,中科—格林商品期货指数(M-G Commodity futures index)是较为重要的一个。该指数在开发过程中充分借鉴了国际成熟商品指数的经验,同时也考虑了中国期货市场的自身发展特点,具有较强的适用性。本文以中科-格林商品指数为研究对象,阐述了商品期货指数的编制方法,并验证了指数的功能。
Commodity indices have played important role in global futures market to measure trends in commodity futures markets. However, research on Chinese commodity index is still in the starting period. While on the other hand, with China＇s integration into the world econoray and the development of Chinese futures market, the study of commodity index has more practical significance than before. As an important index among Chinese commodity futures indices, M-G commodity futures index is characterized by its applicability, since it not only absorbs the advanced experience from global commodity indices, but also takes into account the current situation of Chinese futures market. In this paper, we take M-G commodity futures index as an example to discuss the design of commodity futures indices; also, we test the functions of M-G commodity futures index, based on which we evaluate its performance.
出处
《中国管理科学》
CSSCI
2007年第4期1-8,共8页
Chinese Journal of Management Science
基金
国家自然科学基金委员会优秀创新研究群体基金资助项目(70221001)
国家杰出青年基金资助项目(70125001)
