基于协整理论大豆期货市场效率实证分析

基于协整理论的分析表明，大豆未来现货价格序列和距最后交易日前7d、14d、30d、60d和90d的期货价格序列为非平稳序列；大豆未来现货价格和距最后交易日前7d、14d、30d、60d和90d的期货价格协整，且距最后交易日30d以内，协整关系更显著；距最后交易日前30d以内的大豆期货价格在很大程度上预测了大豆未来现货价格的变动：距最后交易日前60d和90d的大豆期货价格不能很好预测大豆未来现货价格的变动。距最后交易日前60d和90d，大豆期货市场的效率相对较低。

Empirical Analysis of Soybean Futures Market Based on Co-integration Theory

Cointegration test indicated that future spot price of bean sequences and future pirce sequences of bean one week,two week,one month,two month,three month prior to the last trading day are instable;future spot price of bean sequences and future pirce sequences of bean one week,two week,one month,two month,three month prior to the last trading day are cointegrated,and the cointagration relations are obvious in one month prior to the last trading day;future price of bean in one month prior to the last trading day very big degree forecasted the changes of future spot price of bean;future price of bean two month,three month prior to the last trading day can not forecast the changes of future spot price of bean;the futures markets efficiency of bean is low two,three month prior to the last trading day.