| 我国大豆期货市场弱式有效性实证分析 |
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| 引用本文： | 胡杰,庞新波.我国大豆期货市场弱式有效性实证分析[J].陕西教育学院学报,2010,26(4):28-33. |
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| 作者姓名： | 胡杰 庞新波 |
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| 作者单位： | 陕西师范大学国际商学院,陕西西安710062 |
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| 基金项目： | 陕西省软科学研究计划项目，陕西省人民政府研究室科研项目 |
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| 摘 要： | 为了考察我国大豆期货价格是否服从随机游走来验证大豆期货市场是否有效的命题,根据随机误差项的不同假定,将随机游走分为三种类型,以及每种类型所代表的市场效率,分别通过游程检验、技术分析检验和GARCH模型分析得出＂我国大豆期货市场为弱式有效,并且是相对低效率的弱式有效＂的结论。
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| 关 键 词： | 大豆期货 随机游走 弱式有效 GARCH模型 |
Empirical Analysis on the Weak-form Efficiency of China's Soybean Futures Market |
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| HU Jie,PANG Xin-bo.Empirical Analysis on the Weak-form Efficiency of China's Soybean Futures Market[J].Journal of Shaanxi Institute of Education,2010,26(4):28-33. |
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| Authors: | HU Jie PANG Xin-bo |
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| Institution: | (International Business School, Shaanxi Normal University, Xi＇an 710062, China) |
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| Abstract: | This paper tests the proposition whether China＇s soybean market is efficient through testing the random walk characteristics of the price of soybean futures market. The random walk is divided into three types according to the discriminatory hypotheses of the random error and the corresponding efficiency of every type, then the Runs Test, technical analysis test and GARCH model are used respectively to draw the conclusion that ＂China＇s soybean futures market is weak-form efficient,and that of relatively low effi-ciency＂. |
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| Keywords: | soybean futures random walk weak-form efficiency GARCH model |
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