中国金属期货市场有效性检验与分析

Empirical Study on Market Efficiency of Metal Futures Markets in China

通过单位根检验、序列相关性检验和游程检验三种统计检验方法对2005年—2011年我国铜和铝期货的弱有效性进行了检验,三种检验方法的结果一致表明,铜、铝期货市场的价格序列并不符合随机游走过程,市场还未达到弱式有效。

The cooper and aluminum futures markets from 2005 to 2011 are tested by the three statistical test methods of unit root test, time series correlation test and runs test. The results of the three tests show that the price volatility of the cooper and aluminum futures markets are not random walk processes, which proves that the two markets don＇t accord with the weak form efficiency.