中文摘要：

从便利收益视角来分析投机与大宗商品价格波动的关系，首先导出了基于IGARCH模型的动态便利收益近似计算式，并据此来判断投机行为是否引起价格与供需基本面的脱离；然后构建了包含动态便利收益的投机套利模型来度量投机行为对价格的影响强度．最后对天然橡胶市场的投机情况进行了实证分析．结果表明，总体上看，短期价格对投机者的预期反应敏感，使市场产生“自我实现的预言”效应；投机行为引起天然橡胶价格与供需基本面脱离，起到了推涨助跌的作用，加剧天然橡胶价格波动．

英文摘要：

A convenience yield approach is applied to analyze the relationship between spec- ulation and prices volatility. The approximate expression of dynamic convenience yield is deduced by introducing IGARCH model firstly, which can be used to detect whether speculation distort the prices. Then a speculation and arbitrage model including dynamic convenience yield is developed, which can be used to examine the role of speculation in determining the prices. Finally, the empirical analyses about natural rubber market were given by using above methods. The results show that on the whole, speculation plays an important role in the changes of short-run prices and can lead to a self-fulfilling prophecy, making prices to deviate from supply-demand fundamentals and helping to boost or depress prices. Thus, speculators augment the volatility in the price of natural rubber.