摘要
依据非线性理论中较具代表性的分形市场假说,从弱势有效市场的基本检验出发,研究了大连商品交易所的黄大豆一号,上海期货交易所的阴极铜、铝,郑州商品交易所的硬冬白小麦、一号棉花的期货合约收益率的赫斯特指数,检验了我国期货市场的分形特征,并通过计算这五种期货合约的非周期循环的长度,发现我国期货市场缺乏有效性.
Based on fractal market hypothesis and basic test of weak form efficiency, Hurst Component of soybean-1 from Dalian Commodity Exchange＇s contracts, negative copper and aluminum from Shanghai Futures Exchange, wheat and cotton-1 from Zhengzhou Commodity Exchange are studied, and tests the fractal features of Chinese futures market. Then it calculates the length of acyclic cycle of these five futures contracts. Finally and points out the efficiency lack of Chinese futures market.
出处
《襄樊学院学报》
2011年第5期69-76,共8页
Journal of Xiangfan University
基金
安徽省教育厅研究项目(2009sk440)
关键词
分形市场假说
期货市场
R/S分析法
Fractal market hypothesis
Futures market
Rescaled Range Analysis
