摘要
文章首先对随机游走过程与市场弱式有效的关系进行系统分析,明确了利用随机游走检验市场有效性应遵循的步骤和程序,并澄清了已有研究中存在的错误和偏差。在此基础上,以郑州棉花期货为例进行了实证分析,得出了不同于已有研究的无效率结论,并进一步分析了棉花期货市场效率低下的原因,以及为提高效率应该采取的措施。
In this paper, we analyzed the relationship between random walk and Weak- form Efficiency market, supplied the steps that tests on efficiency of futures markets in use of random walk should keep to, corrected mistake in existing research, then tested the efficiency of Zhengzhou cotton futures market, concluded a inefficient result different from existing research at last. Afterward reasons resulting in low efficiency were indicated and measures to improve were brought forward.
出处
《华东经济管理》
CSSCI
2009年第1期73-77,共5页
East China Economic Management
关键词
鞅
随机游走
效率
棉花期货
martingale
random walk
efficiency
cotton futures
