我国商品期货市场弱式有效性实证研究  

An Empirical Study on Weak-Form Efficiency of Chinese Commodity Futures Market

作　　者：周伟[1] 田耒[1] 

机构地区：[1]北京航空航天大学经济管理学院,北京100083

出　　处：《商业研究》2007年第2期207-209,共3页Commercial Research

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。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.

关 键 词：商品期货 弱式有效 单位根 序列相关 

分 类 号：F830[经济管理—金融学]