摘要
利用修正的R/S分析方法,采集了近六年的市场交易数据,对我国农产品期货市场的分形特性和长程相关性进行了实证研究,结果表明,大连黄豆期货市场存在状态持续性和波动积聚性,价格收益率时间序列呈现非线性特性;小麦期货则存在40天和170天的两个子周期,在周期内存在状态的持续性,但当n>170后,Hurst指数转化为0.258,为逆向持续性,市场易变性较强。我国期货市场高Hurst值也表明我国的农产品期货市场还未达到弱式有效。
The long-term correlation of Chinese agricultural products futures markets from 1999 to 2005 are analyzed by the revised R/S method. The empirical result shows that the bean futures market is persistent and its volatility is aggregated and the volatility of the return time series of which is nonlinear. While the wheat futures market has both 40 days and 170 days non-periodic sub-cycles in which its volatility is persistent. But its Hurst Exponent turns to 0. 258 and its persistence reversed when the time span is longer than ] 70 days which shows that the market is reversed persistent and variable. The high Hurst Exponents of the both futures markets show that they don＇t reach the weak market efficiency until now.
出处
《系统工程》
CSCD
北大核心
2005年第12期79-84,共6页
Systems Engineering
基金
国家自然科学基金资助项目(70441004)
山东省社会科学规划研究项目(04cjz10)
中国期货业协会联合研究计划项目(ZZ200506)
关键词
农产品期货市场
长程相关性
R/S分析
Agricultural Products Futures Market
long-term Correlation
Revised R/S Method
