关于我国期货市场弱式有效性的研究

由于金融价格遵循随机游走蕴涵着市场呈弱式有效,而单位根的存在仅是随机游走的必要条件,故运用这一含义,本文利用单位根检验与自相关检验的结合,并同时利用方差比检验和多重方差比检验来对随机游走假设进行实证研究,目的在于探讨国内铜、大豆、小麦三大期货市场是否呈弱式有效态势.结果显示:各种检验方法得出的结论是一致的,即铜、大豆、小麦三大期货市场的对数期货价格序列符合随机游走假设.

Efficiency Tests of Commodity Futures Markets in China

If prices follow a random walk model,this implies informational efficiency.Since presence of a unit root is not a sufficient condition for a random walk,we need to test for the presence of autocorrelation in residual.At the same time,VR test is important because an important property of the random walk hypothesis is that the variance of random walk increments should be a linear function of time.MVR test provides a procedure for the multiple comparison of the set of variance ratio estimates with unity.The conclusions tell us we cannot reject weak-worm efficiency market hypothesis.