【摘要】 以上海期货交易所天然橡胶7月合约的每日收盘价为研究对象,采用的方法是单位根检验和方差比检验相结合,通过检验期货价格序列是否服从随机步游过程,来判断市场是否具有弱式有效性。实证检验结果表明,在第一、第二、第四和第五阶段,市场是弱式有效的,但在第三阶段市场并不具有弱式有效性,检验结果与近年来我国天然胶期货市场的实际发展情况基本吻合。更多还原

【Abstract】 With the methods of unit root and variance ratio,the closing prices of nature rubber futures contract No.7 in Shanghai futures exchange were analyzed both to testify whether the time series of futures prices are at random walk and to judge whether the markets satisfy the weak form efficiency.According to the test results,the nature rubber futures markets satisfy the weak form efficiency in the first,second,fourth and fifth periods,but not in the third period,which accords with the practical development of markets.更多还原