| 我国农产品期货价格有效性实证研究 |
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| 引用本文： | 刘建宁,周泉佚.我国农产品期货价格有效性实证研究[J].安徽农业科学,2006,34(2):388-388,397. |
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| 作者姓名： | 刘建宁 周泉佚 |
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| 作者单位： | 上海交通大学金融工程中心,上海,200230 |
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| 摘 要： | 利用单位根检验和协整检验对大连商品交易所的大豆期货价格有效性进行了实证检验。检验结果表明:2月和4月大豆期货价格序列和现货价格序列存在着协整关系,说明期货价格和现货价格存在长期均衡关系,期货价格是现货价格的无偏估计量,期货价格是有效的。
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| 关 键 词： | 单位根检验 协整检验 有效性 |
| 文章编号： | 0517-6611（2006）02-0388-01 |
| 收稿时间： | 2005-09-08 |
| 修稿时间： | 2005-09-08 |
Efficiency Test for the Price of Chinese Agricultural Products |
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| EIU Jlan-ning et al.Efficiency Test for the Price of Chinese Agricultural Products[J].Journal of Anhui Agricultural Sciences,2006,34(2):388-388,397. |
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| Authors: | EIU Jlan-ning |
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| Institution: | Financial Engineering Research Center, Shanghai Jiaotong University, Shanghai 200230 |
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| Abstract: | The market efficiency hypothesis for Chinese agricultural product was tested with the method of daily data.The results from the unit root test and co-integration test provided enough evidence that the price of soybean future in contrast with a maturity of 2 and 4 months was efficient all the time. |
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| Keywords: | Unit root test Co-integration test Efficiency |
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