上海期货交易所期货价格有效性的实证检验

本文在风险溢价理论框架下,借助协整分析法对上海期货交易所铜、铝期货价格的有效性进行了规范的实证检验。结果显示:距最后交易日前7、14、28天的铝期货市场支持风险溢价假说,在风险溢价条件下具有长期效率;而距最后交易日前7、14天的铜期货市场亦在风险溢价条件下呈有效状态,当距最后交易日28天时,铜期货市场不支持风险溢价假说,但并不能就此得出此时的铜期货市场没有效率的结论。

This paper aims to study the price efficiency of Shanghai futures markets under the risk premium framework. The empirical tests are conducted through the cointegration method and results show that the aluminum futures market, 7, 14, 28 days prior to the last trading day, supports the risk premium hypothesis; the copper futures market, 7, 14 days, is also efficient in the risk premium framework but when 28 days, it lacks supportive evidence for the risk premium hypothesis, which can not draw the conclusion that the copper futures market then is inefficient.