期货市场价格波动与市场弱有效性的检验与分析

Examing and Analyzing the Volatility and Weak Market Efficiency of Metallic Futures Prices

通过对中国期货市场铜和铝两种金属期货品种收益率的分布与波动性进行实证分析,论证其时间序 列存在ARCH效应;运用GARCH模型对两种期货品种进行了拟合分析和统计检验,结果表明这两个期货品 种的波动性均具有很高的持续性,但上海铝期货的波动性相比于上海铜,其波动性受各种外部冲击的影响较 大;通过GARCH(1,1)的市场有效性检验,论证中国金属期货市场尚未达到弱式有效,市场风险较大。

The ARCH effect of the return time series of Chinese copper and aluminum futures is argued by analyzing their distribution and volatility. The GARCH(1,1) models show that the two futures markets are with strong clustering and persistence characteristics although the aluminum futures is more strongly affected by the outside factors than the copper futures. By the GARCH(1,1) model, we obtain that the Chinese metallic futures market doesn't reach the weak market efficiency until now, which has been proved with high risk.