中国商品期货市场有效性的方差比率检验

随机游动模型的方差比率检验方法可以被用于检验中国商品期货市场的有效性程度。对1999-2004年间六个商品期货品种的收盘价和结算价的分阶段（1999-2001和2002-2004）检验结果表明：铜期货市场在整个样本期间都基本上达到了弱式有效，而铝、天胶、大豆／豆一、豆粕等品种在2002-2004年间的有效性却表现出一定程度的下降。但是，在2002-2004年间，小麦期货市场的有效性得到了一定程度的提高。这些实证结果表明监管当局应该汲取以往期货市场大幅震荡的教训，有针对性地继续努力改进并提高期货市场的有效性水平。

Variance Ratio Test for the Efficiency in China's Commodity Futures Markets

Using variance ratio test,this study examines the weak form efficiency hypotheses for China's commodity futures markets during 1999-2004. We find that copper futures were generally priced efficiently during 1999-2004. However, there was some evidence that the market efficiency decreased for aluminum, rubber, soybean, and soybean meal futures during 2002-2004, and the market efficiency improved for wheat futures during 2002-2004. Our empirical results imply that we should continue to be vigilant to market manipulation and investors' immaturity, especially for several inefficient markets.