我国股指期货市场有效性的实证研究

Empirical Study of the Efficiency of China's Stock Index Futures Market

运用自相关检验、游程检验和方差比检验的研究方法,对我国股指期货市场的市场有效性进行了研究。研究结果表明:在高频数据上,四个发展阶段的股指期货市场均不满足弱式有效市场特征,且市场有效性并未随着市场的发展而提高。随后,针对实证研究结果,给出了提升我国股指期货市场有效性的政策建议。

With the methods of autocorrelation test,runs test and variance ratio test,the paper studied the efficiency of the stock index futures market in China. The results showed that CSI 300 stock index futures in the four years of the listed transactions have not effective market characteristics in high frequency trading,and the efficiency has not improved with the development of CSI300 stock index futures market. Finally,it put forward the recommendations to improve the efficiency of the stock index futures market in China. for empirical results.