期刊文献+

中国商品期货市场有效性的方差比率检验 被引量:10

Variance Ratio Test for the Efficiency in China's Commodity Futures Markets
下载PDF
导出
摘要 随机游动模型的方差比率检验方法可以被用于检验中国商品期货市场的有效性程度。对1999-2004年间六个商品期货品种的收盘价和结算价的分阶段(1999-2001和2002-2004)检验结果表明:铜期货市场在整个样本期间都基本上达到了弱式有效,而铝、天胶、大豆/豆一、豆粕等品种在2002-2004年间的有效性却表现出一定程度的下降。但是,在2002-2004年间,小麦期货市场的有效性得到了一定程度的提高。这些实证结果表明监管当局应该汲取以往期货市场大幅震荡的教训,有针对性地继续努力改进并提高期货市场的有效性水平。 Using variance ratio test,this study examines the weak form efficiency hypotheses for China's commodity futures markets during 1999-2004. We find that copper futures were generally priced efficiently during 1999-2004. However, there was some evidence that the market efficiency decreased for aluminum, rubber, soybean, and soybean meal futures during 2002-2004, and the market efficiency improved for wheat futures during 2002-2004. Our empirical results imply that we should continue to be vigilant to market manipulation and investors" immaturity, especially for several inefficient markets.
作者 辛宇 陈工孟
出处 《南方经济》 北大核心 2006年第3期19-27,共9页 South China Journal of Economics
基金 广东省自然科学基金2005年度资助项目(5300541)。
关键词 中国 商品期货 随机游动 方差比率检验 China commnditv futures random walk: variance ratio test
  • 相关文献

参考文献13

  • 1唐齐鸣,陈健.中国股市的ARCH效应分析[J].世界经济,2001,24(3):29-36. 被引量:138
  • 2王志强,徐亚范,朱丽红.大连商品交易所市场有效性检验[J].财经问题研究,1998(12):54-56. 被引量:30
  • 3徐剑刚.我国期货市场有效性的实证研究[J].财贸经济,1995,16(8):14-19. 被引量:35
  • 4Campbdl J. Y., Lo A. W., MacKinlay A. C, 1997, The econometrics of financial markets, Princeton: Princeton University Press, 48-55.
  • 5Comew R. W., Town D. E., Crowson L. D., 1984, "Stable distributions, futures prices, and the measurement of trading performance, "Journal of Futures Markets, 4,531-557.
  • 6Fung H. G., Lo W. C., Peterson J. E.,1994, "Examining the dependency in intra-day stock index futures, " Journal of Futures Markets,14,405-419.
  • 7Lee C. I., Gleason K. C., Mathur I.,2000, "Efficiency tests in the French derivatives market," Journal of Banking and Finance, 24,787-807.
  • 8Lee C. I., Mathur I. , 1999, "Efficiency tests in the Spanish futures markets," Journal of Futures Markets, 19,59-77.
  • 9Liu C. Y., He J., 1991, "A variance-ratio test of random walks in foreign exchange rates, " Journal of Finance, 46,773-785.
  • 10Lo A. W., MacKinlay, C., 1981, "Stock market prices do not follow random walks: Evidence from a simple specification test, " Review of Financial Studies, 1,41-66.

二级参考文献4

共引文献183

同被引文献93

引证文献10

二级引证文献24

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部