从富士苹果产销地价格关系看中国市场效率

On China's Market Efficiency Based on the Price Relationship Between Producer and Consumer of Fuji Apple

基于随机游走和市场有效假说,采用协整分析、格兰杰因果检验等方法,通过研究富士苹果产销地价格关系研究中国市场效率。结果表明,产地价格波动遵循随机游走;销地价格波动不遵循随机游走,存在ARCH效应,满足高风险高收益假说;产销地价格间存在长期稳定均衡关系,但由于流通领域进入壁垒等的存在,产销地市场并不是统一完善的有效市场,而是两个市场;市场间传递效应显著而倒逼效应不显著;市场上投机和寻租等的存在正加剧着市场分割和社会福利损失。由此说明,历经30余年市场经济建设,中国市场效率仍待改进。政府应削弱市场进入障碍,增进市场效率,提升社会福利。

Based on the random walk model,the market efficiency hypothesis,the co-integration analysis and Granger causality test,this article studies China＇s market efficiency by Fuji apples＇ producer and consumer price.It shows that while the producer＇s prices follow the random walk model,the consumer＇s price fit in with the hypothesis of high risk and high profit with ARCH effect.Due to entry barriers in circulation,the producer market and the consumer market are not unified.While production price changes have significant transfer effect on consumer market price changes,the consumer market price changes do not have significant force effect to the production price changes.The speculation and rent-seeking on the market is intensifying the market segmentation and social welfare loss.After 30-years construction of the market economy,there is still room for China＇s market efficiency.Chinese government should weaken the market entry barriers,promote the market efficiency and enhance the social welfare.