我国农产品新品种期货市场效率实证研究

Empirical Research on the Efficiency of New Products of Agriculture Commodity Futures Markets in China

期货市场效率的实证研究是期货市场的一个热点研究领域。本文采用方差比方法并结合单位根方法,对我国07年以后上市的农产品期货新品种棕榈油、菜籽油及早籼稻期货市场的效率进行了随机游走检验,结果表明:这3个农产品新品种期货市场均满足随机游走假设,全部达到了信息弱式有效。这一实证结果说明,农产品期货新品种上市时间虽然不长,但是在多方的共同努力下,市场整体运行规范,稳步发展,在扶持现代农业发展中发挥了积极作用;并且农产品期货新品种的成功上市、有效运行,无疑为进一步农产品期货新品种的推出提供了值得借鉴的宝贵经验。

Empirical research on the efficiency of futures markets is the hot research field in futures markets.This paper examines the efficiency of random walk hypothesis for the new products of agriculture commodity futures markets in China： palm oil,colza oil and early long-grain rice futures which all come into the market after 2007.The random walk hypothesis is tested with Lo-MacKinlay variance ratio test and unit root test.We found that these three new products futures markets all follow the random walk hypothesis and therefore all reach the weak-form efficiency.This result shows although new products futures enter the market not long,but they are under the normal operation and steady development in the many joint efforts.Moreover,the successful coming into the market and effective operation of these new products futures must provide valuable experiences for the new products of agriculture commodity futures which will come into the market later.