| 中国期货市场有效性研究 |
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| 引用本文： | 鲁瑞荣.中国期货市场有效性研究[J].经济管理,2005(20):61-64. |
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| 作者姓名： | 鲁瑞荣 |
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| 摘 要： | 本文介绍了期货市场有效性理论，利用Johansen市场拟合检测方法分析国内两个主要农产品期货品种——大豆和小麦的期货价格和现货价格表现，结果显示大豆的期货价格和现货价格较长时间是一致的，大豆期货市场是有效的．但大豆期货市场仅仅短期有效，小麦期货市场则是无效的。
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| 关 键 词： | 期货市场 有效性 拟合 |
| 文章编号： | 1002-5766（2005）20-0061-04 |
| 收稿时间： | 2005-02-15 |
| 修稿时间： | 2005-02-15 |
An Empirical Study on the Efficiency of the Chinese Futures Markets |
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| Lu Rui-rong.An Empirical Study on the Efficiency of the Chinese Futures Markets[J].Economic Management,2005(20):61-64. |
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| Authors: | Lu Rui-rong |
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| Abstract: | In this paper,we study the efficiency of the Chinese wheat and soybean futures markets and asses the conditions in agricultural commodtiy futures and cash markets in China.Results suggest that a long term equilibrium relationship between the futures price and the cash price for the soybeans,and a weak short term efficiency of the soybean futures market.The futures market for weak is inefficient. |
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| Keywords: | futures market efficiency cointegration |
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