沪深300股指期货市场弱式有效性检验

摘要

Market efficiency is one of the most important indices to measure the quality of stock index futures market de-velopment.By using day frequency transaction data from the April 16, 2010 to April 17, 2014, this paper tests the weak efficiency in Shanghai and Shenzhen 300 stock index futures market with wild bootstrap automatic variance ratio test, generalized spectrum test and Dominguez-Lobato test methods.These methods allow the exist of conditional heteroske-dasticity of unknown form and small sample, can detect linear correlation and non-linear correlation sequence.The re-sucts show the stock index fuctures market in China attain weak efficiency, which contributes to the effect performance of risk control, the input of long-term capital, and the improvement of market efficiency.%市场有效性是衡量股指期货市场发展质量的最重要指标之一。本文采用2010年4月16日－2014年4月17日的日频交易数据，运用 wild bootstrap 自动方差比检验、广义谱检验和Dominguez－Lobato检验等方法，对沪深300股指期货市场的弱式有效性进行检验。这些方法允许未知形式的条件异方差和小样本的存在，能够检测出序列的线性相关性和非线性相关性。检验结果表明我国股指期货市场达到了弱式有效，这主要归因于风险控制的有效实施、长期资金的入市和市场效率的提升。