The Empirical Tests on Risk in Chinese Futures Market  

作　　者：Hong Tian Li Tang 

机构地区：[1]Ph.D candidate of School of Economics, Huazhong University of Science and Technology and general manager of Xiangcai Securities Xi＇an Branch [2]Ph.D candidate of School of Economics and Finance, Xi＇an Jiaotong University

出　　处：《Chinese Business Review》2003年第3期54-57,共4页中国经济评论（英文版）

摘　　要：The Research on Market Risks has been developed abroad in all sorts of markets since 1960＇s. It＇s necessary to comprehend and consider opportunity and challenge in Chinese futures market from the viewpoint of risk management. With different ARCH models, we find heteroscedasticity does exist in Chinese market, so we adopt the Variance Ratio. We test empirically the prices of Chinese futures market from 1993 to 2002. The results show that only futures price of copper meets the random walk, thereby confirming the weak form market efficiency. It also means that the function of price discovery is weak and the risk of futures market is poor. Finally, we give much constructive policy advice.

关 键 词：Chinese futures market risk management empirical tests 

分 类 号：F0[经济管理—政治经济学]