我国玉米期货市场有效性检验
Test to the Effectiveness of the Corn Futures Market in China
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摘要: 研究了大连商品交易所2011-2015年期间共1 205个交易日的玉米期货,根据尤金·法玛提出的有效市场假说,采用了方差比检验、单位根检验和协整理论检验方法对我国玉米期货市场的有效性程度进行了检验,实证结果表明我国玉米期货市场已经基本达到弱式有效市场的标准,但玉米期货市场的有效性仍有提高的空间,从而可以利用玉米期货的历史交易信息来研究与预测未来期间玉米期货的交易价格。Abstract: Based on the corn futures which are traded in DEC from 2011 to 2015,according to the market efficiency hypothesis, the paper analyzes the market efficiency of Chinese corn futures with variance ratio test, unit root test and co-integration test. The results show that Chinese corn futures market has met the weak-form efficient market, but there is still room for improvement. Thus it can use the historical data to forecast the future price of corn futures.