我国大豆期货市场弱式有效性检验——基于非线性单位根检验

Weak Form Efficiency of Soybean Futures Market in China: A Nonlinear Unit Root Test

传统DF、ADF等单位根检验方法所得到结论往往存在偏误。以Kapetanios等(2003)提出的平滑转换门限单位根检验方法,对我国大豆期货市场弱式有效性进行检验,结果表明,大豆期货收益率序列存在非线性,为单位根过程,我国大豆期货市场为弱式有效。说明我国大豆期货市场能比较有效地对市场信息做出反应,有较好的价格发现作用,对大豆现货价格具有较好的稳定作用。利用非线性单位根检验,有利于市场监管,能够促使我国农产品期货市场真正成为优化农业资源配置、稳定农产品生产和流通的有效途径。

The conclusions from Traditional DF, ADF unit root tests usually include some errors. This study concludes that soybean futures market in our country is weak efficient with linear return rate and unit root process, testing by the smooth transition threshold unit root method proposed by Kapotanios （2003）, which indicates that the domestic soybean futures market can stabilize the spot market with efficient reaction to the market information and a better price discovery function. The nonlinear unit root test can help strengthen the market supervision, and make the agricultural futures market an effective way for optimizing agTicnltural resources, steadying agricultural production and circulation as well.