摘要
本文以我国期货市场选取的六种期货的价格行为为对象,利用单位根检验与自相关检验的结合,并同时利用方差比检验和多重方差比检验来随机游走假设进行实证研究,目的在于探讨国内铜、大豆、小麦等六大期货市场是否呈有效态势。结果显示:各种检验方法得出的结论不尽一致,除上天胶外,各大期货市场的对数期货价格序列不能拒绝弱式有效市场假设。
In this paper, we take the prices of some selected commodity futures as the object of study. Since presence of a unit root is not a sufficient condition for a random walk we need to test for the presence of autocorrelation in residual.At the same time, VR test and MVR test provide another procedure to test the random walk hypothesis,which infers to the weak - form efficency of five future markets. The conclusions tell us we cannot reject weak- form efficiency market hypotesis in those five future markets.
出处
《中国管理科学》
CSSCI
2005年第6期1-5,共5页
Chinese Journal of Management Science
基金
国家自然科学基金资助项目(70441022)
关键词
期货价格
市场有效
随机游走
future price
market efficiency
random walk
