风险溢价条件下的中国大豆期货市场效率实证研究

The Empirical Research on the Efficiency of Chinese Soybean Futures Markets under the Risk Premium Framework

在风险溢价理论框架下,借助协整分析法和似然比方法对我国农产品期货的代表品种大豆期货市场的效率进行了实证检验。结果显示:大豆期货价格与未来现货价格之间存在协整关系,且距最后交易日四个月以内时,大豆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;同时弱外生性检验显示大豆期货市场仍存在短期失效的情况,因此市场交易者需要注意短期内大豆期货价格并不是其未来现货价格的良好指示器。

This paper aims to studies the efficiency of Chinese soybean futures markets under the risk premium framework. The empirical tests are conducted through Johansen method and likelihood - ratio test. The results show that there is a long - term equilibrium relationship between futures prices and future spot prices and the soybean futures market, within 4 months prior to the last trading day, supports the risk premium hypothesis and is long - run efficient. Moreover, the weak exogcncity tests reveal that the short - run inefficiency still exists in soybean futures markets, so traders need to be aware of the fact that the futures prices may not be a good indicator for their future spot prices in the short - run.