文档介绍：南京航空航天大学
硕士学位论文
中国商品期货市场有效性的实证分析
姓名:常明健
申请学位级别:硕士
专业:技术经济及管理
指导教师:徐强
20080301
南京航空航天大学硕士学位论文
摘要
检验期货市场的有效性不仅要检验期货市场中期货的价格是否有效而
且还应当检验期货市场的功能是否有效因此本文以市场有效性理论为依据
首先利用随机游走检验模型检验了我国商品期货市场上的铜铝小麦和大豆
等四个期货品种的价格有效性然后利用 Granger 因果关系检验和协整检验对
这四个期货市场是否具备价格发现功能进行了检验
随机游走检验表明我国的铜和铝期货市场均达到市场弱势有效但市场
效率还比较低而大豆和小麦期货市场未达到市场弱势有效市场效率相对铜
和铝期货市场更低
Granger 因果关系检验表明除铝期货市场对其现货市场存在短期价格引导
关系外铜大豆和小麦的期货市场对现货市场均存在较长期的价格引导关系
因此铜铝大豆和小麦的期货市场均具备一定的价格发现功能
协整检验表明,铜铝和大豆的现货市场和各自的期货市场均具有协整关
系即现货价格和期货价格存在长期均衡关系说明这三个期货品种的期货价
格是其现货价格的无偏估计在这样的期货市场和现货市场进行套期保值的风
险是比较低的小麦期货价格和现货价格不具备协整关系因此在小麦期货
市场和现货市场进行套期保值的风险较大
关键词期货市场市场有效性随机游走 Granger 因果关系检验协整检验

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中国商品期货市场有效性的实证分析
ABSTRACT
To test the efficiency of the futures market, we not only need to test the
efficiency of the futures price, but also the efficiency of the futures market function.
Therefore, we firstly use the random walk model to test the efficiency of the futures
price of modity futures market, copper, aluminum, wheat and soybean
futures based on the theory of efficient market in this paper, then we use the Granger
causality model and cointegration model to test whether these four futures markets
have the function of price discovery and risk aversion.
The random walk test showed that China's copper and aluminum futures markets
are vulnerable to market effective, but market efficiency is still relatively low, while
soybean and wheat futures markets failed to meet market weakness effective, market
efficiency is lower than copper and aluminum futures market.
The Granger causality test showed that, in addition to the aluminum futures
markets, copper, soybean and wheat futures markets all have longer-term price guide
relationship to their respective spot markets. Therefore, copper, aluminum, soybean
and wheat futures markets all have a certain price discovery function.
The Cointegration test showed that, in addition to the wheat futures markets, the
spot mark