| 基于历史的期货市场有效性检验 |
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| 引用本文： | 刘慧宏.基于历史的期货市场有效性检验[J].系统管理学报,2005,14(4):353-355. |
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| 作者姓名： | 刘慧宏 |
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| 作者单位： | 宁波大学,商学院,宁波,315211 |
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| 摘 要： | 基于历史概念,提出一种新的市场有效性检验方法,并对上海期货交易所的铜期货市场进行了市场有效性检验,得出了该市场基本符合弱式有效的结论。
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| 关 键 词： | 期货市场 市场有效 似然比检验 |
| 文章编号： | 1005-2542(2005)04-0353-03 |
| 修稿时间： | 2004年3月22日 |
A Test of Market Efficiency in Futures Market Based on History |
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| LIU Hui-hong.A Test of Market Efficiency in Futures Market Based on History[J].Systems Engineering Theory·Methodology·Applications,2005,14(4):353-355. |
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| Authors: | LIU Hui-hong |
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| Abstract: | Based on the concept of history,we suggest a new method to test market efficiency.Then we use this method to do a test of market efficiency in copper futures market in Shanghai Futures Exchange and find that the market is weak efficient. |
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| Keywords: | futures market market efficiency likelihood ratio test |
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