中国小麦期货市场效率的协整检验

本文采用扩展恩格尔-格朗杰检验对中国小麦期货市场效率进行研究,结果显示:未来现货价格与距最后交易日前第7、14、28天期货价格协整,并且距最后交易日越近,期货价格越接近对未来现货价格的无偏估计,期货市场接近有效率市场;未来现货价格与距最后交易日前第56天的期货价格不协整,因此可推断距最后交易日超过56天的期货市场没有效率。

A Cointegration Test for China Wheat Futures Market Efficiency

By using Engle and Granger Test, the analysis of the efficiency of China wheat futures market shows that futures price series and spot price series of futures contract, seven, fourteen or twenty-eight days prior to the last trading day, are respectively cointegrated, and the nearer to the last trading day, the closer the futures price is to future spot price, thus the closer the futures market is to efficiency. but future spot price series is not cointegrated with price series of futures contract fifty days prior to the last trading day, so it can be concluded that the futures market is not efficient over fifty-six days prior to the last trading day.