Normality of the Stock Index Futures of China

摘要

In this paper, we test the null hypothesis that the prices of stock index futures of China follow a random-walk process. Five hypothesis tests are applied to test the random-walk hypothesis (RWH). Each test uses both inter-day and intra-day returns. Compared with inter-day analysis, test results on intra-day data can describe the movements of intra-day markets more effectively, because intra-day analysis eliminates overnight news propagation, thus generating more precise conclusions on the intra-day market for intra-day traders. Three out of the five tests reject the RWH, whereas the other two cannot reject the RWH. Overall, the market is not fully efficient.