Variance Ratio Tests of Weak-form Efficiency for Futures Markets

摘要：

If prices follow a random walk model ,this implies informational efficiency .Since presence of a unit root is not a sufficient condition for a random walk, we need to test the presence of autocorrelation in residuals. At the same time ,VR test is important because an important property of the random walk hypothesis is that the variance of random walk increments should be a linear function of time. MVR test provides a procedure for the multiple comparison of the set of variance ratio estimates with unity. The conclusions tell us we cannot reject weak-worm efficiency market hypothesis in Chinese futures markets.

关键词： Futures markets weak-worm efficiency random walk VR test.

作者: Xiaoyan Zhang Zhiding Chen

作者单位: School of Economics & Management Three Gorges University Yichang City, Hubei Prov.P.R.China, 443002 School of Water Resource & Hydropower Wuhan University Wuhan City, Hubei Prov.P.R.China, 430072

会议类型: 国际会议

会议名称: 2007 Conference on Systems Science, Management Science and System Dynamics(第二届系统科学、管理科学与系统动力学国际会议)

会议地点: 上海

会议语种:英文

页码: 2949-2954

在线出版日期: 2007-10-19（万方平台首次上网日期，不代表论文的发表时间）