我国天然胶期货市场有效性实证分析  

Analysis of the Efficiency of China's Nature Rubber Futures Markets

作　　者：龚国光[1] 刘依庆[2] 

机构地区：[1]上海对外贸易学院金融管理学院,上海200162 [2]安徽建工学院管理工程系,安徽合肥230011

出　　处：《武汉理工大学学报（信息与管理工程版）》2008年第1期136-139,共4页Journal of Wuhan University of Technology：Information & Management Engineering

基　　金：上海市教委重点科研课题资助项目(05ZS58)

摘　　要：以上海期货交易所天然橡胶7月合约的每日收盘价为研究对象,采用的方法是单位根检验和方差比检验相结合,通过检验期货价格序列是否服从随机步游过程,来判断市场是否具有弱式有效性。实证检验结果表明,在第一、第二、第四和第五阶段,市场是弱式有效的,但在第三阶段市场并不具有弱式有效性,检验结果与近年来我国天然胶期货市场的实际发展情况基本吻合。With the methods of unit root and variance ratio, the dosing prices of nature rubber futures contract No. 7 in Shanghai futures exchange were analyzed both to testify whether the time series of futures prices are at random walk and to judge whether the markets satisfy the weak form efficiency. According to the test results, the nature rubber futures markets satisfy the weak form efficiency in the first, second, fourth and fifth periods, but not in the third period, which accords with the practical development of markets.

关 键 词：天然橡胶期货市场 方差比 有效市场假说 随机步游 

分 类 号：F723[经济管理—市场营销]