摘要
现以我国三个商品期货市场的主要交易品种合约为研究对象,运用单位根检验、序列相关检验对期货收益率进行实证分析,其结果表明我国所有期货品种的价格时间序列满足一阶单整过程,棉花、铜期货品种的收益率时间序列服从随机游走过程,而大豆、豆粕、天胶、硬麦四个期货品种的收益率时间序列存在3阶自相关,我国商品期货市场整体上尚未达到弱式有效。
This paper uses the main trade contracts of three commodity futures markets in China as the research sbjects, carries out the empirical analysis on the futures earning ratio by means of unit root test and serial correlation test. The results show that price time serials of all futures varieties obey one step integration process, and cotton and copper obey random walk process, while soybeanw soybean meal, crude latex and wheat exist three steps autocorrelation, thus commodity futures market of China is not a weak - form efficiency market.
出处
《商业研究》
北大核心
2007年第2期207-209,共3页
Commercial Research
关键词
商品期货
弱式有效
单位根
序列相关
commodity futures
weak - form efficiency
unit root
serial correlation
