Abstract: The international commodity market price fluctuation has seriously negative impact on Chinese commodity import costs. Under this background, it has great academic value to study the spot price change and commodity futures returns in China. Based on the convenience yield model, the commodity term structure, commodity futures returns and futures returns decomposition are obtained. Then the relevant data is selected from China's commodity futures exchange as samples, and a measurement study on commodity futures returns and spot price change is proposed. The results show that, in sample period, there's no close relationship between commodity futures returns with spot price change;commodity risk premiums that are conditional on roll returns and expected spot price changes are time-varying;average roll returns reflect the expected deviation of the spot price change from the risk premium;the futures term structure, convenience yields and roll returns accurately anticipate subsequent spot price changes.The above-mentioned theories and empirical results provide some helpful references and operable selection methods for measure and management as well as commodity futures investment decision design in the pricing of commodity futures especially different commodity futures returns and spot price change in China.

Key words: convenience yield model, commodity futures returns, roll return, term structure, spot price change