我国铜期货市场弱式有效性实证分析
Research on Weak-Form Efficiency of China Copper Futures Market
本文以我国铜期货交易合约为研究对象，运用单位根检验、因果关系检验、OLS估计对期货收益率进行了实证分析。研究结果表明：我国铜期货品种的价格时间序列满足零阶单整过程；铜期货价格收益率序列四期相关；铜期货品种的收益率时间序列不服从随机游走过程，期货市场尚未达到弱式有效。
Based on trade contarcts of copper futures marke,this thesis precisely analyzes the futures earning ratio by ADF test, Granger causality test and OLS model.Through analysis, we can find that price time seirals of copper futures varieties obey zero step integration process; copper exists four steps autocorrealtion; copper doesn't obey random walk process, thus copper futures mraket of China isn't a weak-form eficiency mraket.
王俊丽、石春燕
NONE
铜期货弱式有效随机游走过程实证分析
copper futuresweak-form efficiencyrandom walk processempirical analysis
王俊丽,石春燕.我国铜期货市场弱式有效性实证分析[EB/OL].(2010-09-08)[2025-08-16].http://www.paper.edu.cn/releasepaper/content/201009-191.点此复制
评论