国内外煤炭价格弱式有效性的实证研究  

Empirical study on the effectiveness of the weak form of the domestic and international coal prices

作　　者：雷强 

机构地区：[1]神华科学技术研究院发展战略研究所,北京102211

出　　处：《中国矿业》2014年第8期50-54,共5页China Mining Magazine

摘　　要：本文以国内外六种煤炭价格数据为研究对象,用自回归模型、方差比检验以及BDS法等方法对其是否服从随机游走过程进行了检验,从而判断国内外煤炭市场的弱有效性是否成立。研究结论表明:国内外六种煤炭价格序列不服从正态分布和随机游走过程,具有"尖峰厚尾"特征,并且具有一定的非线性特征,可以明确拒绝市场存在弱式有效性假说。为进一步寻找煤炭价格的内在规律性以及为今后的煤炭价格的非线性预测提供一些有益的启示。The objects of this paper are the six domestic and international coal prices data .By using the autoregressive model ,variance ratio test and BDS test to prove whether they are subject to the random walk process ,thus judging whether there exists the weak-form efficiency of the coal markets .The conclusion of the study show that the six domestic and international coal prices do not obey the normal and random walk processes ,and the weak-form efficiency of the coal markets is untenable in order to look for the internal law of the coal prices and provide some useful insights for the future coal price forecast .

关 键 词：方差比检验 弱式有效性 BDS检验 随机游走 非线性 

分 类 号：TD-9[矿业工程]