An Empirical Research About The Efficiencies Of The Futures Markets In China

We look back to the general development of futures markets in China, which intends to give the basic knowledge about the futures markets in China. The market efficiencies are important concept to understand the futures markets, which provokes the attention from the fields of the academia and the practices. After absorbing the domestic research and the foreign research, we get the meaning of market efficiencies on the basis of the market's functions. In our opinions, the futures markets efficiencies not only reflect the general running status, but also embody the market's functions and the role to the real economy. And we discuss the futures markets efficiencies from three different sides in virtue of the existing theories.1 the Macro-efficiencies of Futures Markets and Market EfficienciesThe theories of market efficiencies reflect the speed that the market price absorbs the market information, which is the base of the futures markets efficiencies. In general, there are two different research ways. The first way is to test whether there are the special trading strategies by which the trader can beat the market with the attainable market's information. The other way puts the eyes on the characters of the price movement.Firstly, we investigate the characters of the price movement about ZHENGZHOU COMMODITY EXCHANGE(ZCE), and get the following results. Though the autocorrelation test and the unit root test show that futures markets is efficient. The variance ratio test provides overwhelming evidence that the random walk hypothesis is rejected for the wheat futures of ZCE.Secondly, under the model of arbitrage, we analyze the wheat futures of ZCE with the market data. The results show that the mechanism of arbitrage is working well and futures markets is on the right way. But the spreads are sometimes out of the way and there are the arbitrages opportunities in the market, which shows that the futures markets of wheat are inefficient. What we should do is to put down the transaction cost and design the delivery items through new systems.2 the futures markets' function and its efficienciesThe nature of financial market is the functions that it plays. There is important difference between the futures markets and the securities markets. The former focuses on the exchange of the risk, and the latter pays much attention to transferring funds between lenders and borrowers efficiently. So it is necessary to discuss the efficiencies from the point of futures markets functions. We investigate the efficiencies in the field of transferring risk, finding the futures price in spot markets and transferring markets information, which endows the market efficiencies with the economic meaning and contribute to understand the futures markets' efficiencies better.The analyzing of the hedging function of Shanghai Futures Exchange in China shows that the selecting strategy of hedging and the estimated hedge ratio play an important role in the practice of hedging. The optimal hedge ratio is less than 1, and with the increase of hedge horizon, the optimal hedge ratio increase at the same time. Under the frame of minimizing the risk, the performance of different strategies is also compared. Though, in general, the conventional hedging can transfer the risk of spot market, the strategy of minimum variance hedge prefers the conventional hedge.Through the Cointegration tests, we discover that there is the cointegration relation between the futures price and the cash price, which shows that futures price can't deviate the futures spot price for a long time, and the exterior shock can only make the temporary impact. The test restrictions on the parameters in equation tell that wheat futures price are unbiased estimators of the Zhengzhou spot prices at maturity of the contract if we neglect the impact of risk premium and market friction, but not the unbiased estimators of the national average price.The empirical analysis of the lead-lag relationship between the cash market and the wheat futures markets show...