关键词: 商品期货价格指数, 金属期货, 指数编制

Abstract: This paper studies the theory and methodology of compiling commodity futures price index, and summarizes the successful experience on the compilation of famous commodity futures price index in the world. On the basis of foregoing research results, the author designs five projects on the compilation of China Metal Futures Price Index. Using historical data, the thesis empirically analyzes the performance of each project on the jump effect, the investment function, the reaction to macro-economy,and so on. By comparing the empirical results, the author chooses the “Open interest” project with rolling period to compile China Metal Futures Price Index.
This paper systematically and comprehensively studies the fundamental theory and methodology of compiling commodity futures price index, and researches the compiling methodology and project of China Metal Futures Price Index so all-directionally and multy-perspectivelly, for the first time. So it establishes sound theory foundation, and provides general project for constructing China Commodity Futures Price Indices system. It also provides an objective benchmark for China commodity investment, and effective underlying index for index derivative.

Key words: Commodity Futures Price Index, Metal Futures, Index Compilation