中国大豆期货市场有效吗?——基于事件分析法的研究  

Is Chinese Soybean Futures Market Efficient? A Research Based on Event Studies

作　　者：赵玉[1] 祁春节[1] 

机构地区：[1]华中农业大学经济管理学院

出　　处：《经济评论》2010年第1期114-123,共10页Economic Review

基　　金：湖北省高等学校优秀中青年科技创新团队计划项目"农产品流通体系及问题研究"(项目号:T200813)的资助

摘　　要："中国期货市场是否有效"是学术界争论的焦点之一,本文在事件分析法的研究框架下通过GJR-GARCH形式的市场模型研究中国大豆期货市场上的日历效应和事件效应。研究发现,中国汇率制度改革、美国信贷危机爆发、中国人民银行调整利率以及中国南方地区遭受重大雪灾等事件在大豆期货市场上产生了非正常累计收益,从而表明大豆期货市场不是半强式有效的。同时,主力合约收益序列存在显著的周日历效应,从而表明该市场也不是弱式有效的。由此证伪了"中国大豆期货市场是有效市场"这一命题。因此,需要进一步加强制度建设来提升期货市场的有效性。Whether Chinese futures market is efficient has long been the focus of academic circle. Within the framework of event studies method, this paper establishes GJR - GARCH market model to study the calendar effects and event effects of Chinese soybean futures markets. The study shows that important events,such as the reform of Chinese exchange rate system, the break out of American credit crisis, the adjustment of interest rates in china, and crippling blizzard, have brought abnormal accumulated earnings to Chinese soybean futures market, which shows that soybean futures market is not semi - strong efficient. At the same time, there is obvious day of the week calendar effects in serially returns of dominant contact,which means that soybean futures market is not weak efficient either. That is to say, the statement of ＂Chinese soybean futures market is efficient＂ is false. Therefore, institutional improvement is important for intensify the efficiency of futures market.

关 键 词：大豆期货市场 弱式有效 半强式有效 周日历效应 事件分析法 

分 类 号：F224[经济管理—国民经济] F724.5