| 我国商品期货市场弱式有效性实证研究 |
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| 引用本文： | 周伟,田耒.我国商品期货市场弱式有效性实证研究[J].商业研究,2007,8(2):207-209. |
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| 作者姓名： | 周伟 田耒 |
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| 作者单位： | 北京航空航天大学,经济管理学院,北京,100083 |
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| 摘 要： | 现以我国三个商品期货市场的主要交易品种合约为研究对象,运用单位根检验、序列相关检验对期货收益率进行实证分析,其结果表明我国所有期货品种的价格时间序列满足一阶单整过程,棉花、铜期货品种的收益率时间序列服从随机游走过程,而大豆、豆粕、天胶、硬麦四个期货品种的收益率时间序列存在3阶自相关,我国商品期货市场整体上尚未达到弱式有效。
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| 关 键 词： | 商品期货 弱式有效 单位根 序列相关 |
| 文章编号： | 1001-148X(2007)02-0207-03 |
| 收稿时间： | 05 25 2006 12:00AM |
| 修稿时间： | 2006年5月25日 |
An Empirical Study on Weak - Form Efficiency of Chinese Commodity Futures Market |
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| ZHOU Wei,TIAN Lei.An Empirical Study on Weak - Form Efficiency of Chinese Commodity Futures Market[J].Commercial Research,2007,8(2):207-209. |
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| Authors: | ZHOU Wei TIAN Lei |
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| Institution: | School of Economics and Management Beijing, University of Aeronautics and Astronautics, Beijing, 100083, China |
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| Abstract: | This paper uses the main trade contracts of three commodity futures markets in China as the research sbjects, carries out the empirical analysis on the futures earning ratio by means of unit root test and serial correlation test. The results show that price time serials of all futures varieties obey one step integration process, and cotton and copper obey random walk process, while soybeanw soybean meal, crude latex and wheat exist three steps autocorrelation, thus commodity futures market of China is not a weak - form efficiency market. |
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| Keywords: | commodity futures weak - form efficiency unit root serial correlation |
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