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《Commercial Research》 2007-02
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An Empirical Study on Weak-Form Efficiency of Chinese Commodity Futures Market

ZHOU Wei TIAN Lei (School of Economics and Management Beijing,University of Aeronautics and Astronautics,Beijing,100083,China)  
This paper uses the main trade contracts of three commodity futures markets in China as the research sb- jects,carries out the empirical analysis on the futures earning ratio by means of unit root test and serial correlation test. The results show that price time serials of all futures varieties obey one step integration process,and cotton and copper obey random walk process,while soybean,soybean meal,crude latex and wheat exist three steps autocorrelation,thus commodity futures market of China is not a weak-form etficiency market.
【CateGory Index】: F724.5;F224
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