Empirical tests on weak efficieny of gold futures markets in China

摘要

People are paying attention to the gold because of it's property of currency, commodity, and finance. The gold futures listed on Shanghai Futures Exchange in 2009, and it filled up the blank of China's futures markets which has been without financial futures for a long time. Basing on the correlation analysis, Run test and Unit root test, the paper took the time series data of the gold futures price listed on SHFE as research object, analyzing the efficiency of gold futures markets in China. From this paper, we could conclude that China gold futures markets don't follow the weak EMH.