| 郑州期货市场有效性的实证研究 |
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| 引用本文： | 齐明亮.郑州期货市场有效性的实证研究[J].华中科技大学学报(自然科学版),2004,32(7):57-59. |
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| 作者姓名： | 齐明亮 |
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| 作者单位： | 华中科技大学,经济学院,湖北,武汉,430074 |
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| 基金项目： | 国家自然科学基金资助项目 (70 1 72 0 4 6 ) |
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| 摘 要： | 通过自相关检验、协积检验和方差比检验三种方法检验了郑州小麦期货市场的有效性问题，结果如下：序列相关检验的研究结果表明郑州小麦期货市场基本满足市场有效性假设；单位根检验的研究结果也表明郑州小麦期货市场满足有效性假设；方差比检验的研究结果却表明郑州小麦期货市场不满足有效性假设．
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| 关 键 词： | 期货市场 市场有效性 随机游走 方差比 |
| 文章编号： | 1671-4512(2004)07-0057-03 |
| 修稿时间： | 2003年12月16 |
The study of the efficiency in Zhengzhou futures markets |
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| Qi Mingliang Qi Mingliang Doctoral Candidate, College of Economics,Huazhong Univ. of Sci. & Tech.,Wuhan ,China..The study of the efficiency in Zhengzhou futures markets[J].JOURNAL OF HUAZHONG UNIVERSITY OF SCIENCE AND TECHNOLOGY.NATURE SCIENCE,2004,32(7):57-59. |
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| Authors: | Qi Mingliang Qi Mingliang Doctoral Candidate College of Economics Huazhong Univ of Sci & Tech Wuhan China |
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| Institution: | Qi Mingliang Qi Mingliang Doctoral Candidate, College of Economics,Huazhong Univ. of Sci. & Tech.,Wuhan 430074,China. |
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| Abstract: | There was intimate relationship between the efficiency of futures markets and its functions. The wheat futures efficiency of ZCE was studied. The autocorrelation test and the unit root test showed that the futures market was efficient. The result of the variance ratio showed that the random walk hypothesis on the wheat futures of ZCE was disproved. |
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| Keywords: | futures markets markets efficiency random walk variance ratio |
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