| Nowadays, future market, which has already become an indispensable component in economy worldwide, is playing an increasingly important role in the stability of economy. With the establishment of market economy in China, future market has become significantly vital in both stabling economical fluctuation and regulating the supply and demand on spot market ever since 1990s..However, after China's entry into WTO, investors in Chinese markets, especially the investors in futures markets, will face more and more risks, and the demand of hedging will grow rapidly at the same time. Can the futures markets play full rule in helping the investors to hedge the market risks? Can the market prices fully reflect available information? Answers to these questions exist in the test of the Efficient Market Hypothesese(EMH). According to the classic taxonomy of information sets, efficient market is classified as weak-form, semistrong-form and strong-form. For Chinese markets, we only test the weak-form efficiency.Before detailed demonstration, We look back to the general development of nature rubber spot and futures markets in China, which intends to give the basic knowledge about the nature rubber industry and futures markets in China.For nature rubber futures markets, efficiency does not only mean that the time series of futures prices are random walk, but also mean that the market runs efficiently in price discovery, in hedging against the risks of cash markets, and so on. If the second factor does not be satisfied, even the random walk hypothesis is accepted, we can not get the conclusion that the market is efficient. These two factors are combined together to be analyzed, which is the first characteristic in this dissertation.With the method of Co-integration, we analyze the relations between the Chinese nature rubber futures markets and spot markets, and the relations between the Chinese nature rubber futures markets and the international markets, yearlyfrom 2002 to 2004. We discover that there do not exist the long term & balanced relations between the Chinese nature rubber futures markets and the other two markets, price discovery is not obvious in the Chinese nature rubber futures markets, and there exists obvious price manipulation activities in 2004.Heteroscadesticity is taken into account, which is the second characteristic in this dissertation. With different ARCH models, we found heteroscadesticity does exist in Chinese markets, so the Variance Ratio is selected as the analysis method. According to the test results, the Chinese nature rubber futures markets satisfies the random walk in 2002 and 2003, but not in 2004, thereby not confirming the weak-form market efficiency.However, EMH has limitations too. To make up EMH' limitations, the tests of liquidity and R/S for the Chinese nature rubber futures markets are also done, EMH and FMH are combined together, which is the third characteristic in this dissertation. The results of liquidity tests show that the markets liquidity was decreasing year after year, from 2002 to 2004. and there does not exist obvious difference between the liquidity index in 2002 and in 2003, but there exists obvious difference between the liquidity index in 2003 and in 2004. The results of R/S tests show that the prices series of the Chinese nature rubber futures markets are random walk in 2002, satisfy standard Brown movement, but in 2003 and 2004, the prices series have chaos.Although the Chinese futures markets has made great progress after the phase of regulation, the above mentioned results indicate that Chinese nature rubber markets is not mature yet.The main innovations of dissertation are as follows: First, presents the new method to analyze the Chinese nature rubber futures markets. Second, draws the new conclusion that the Chinese nature rubber futures markets don't confirm the weak-form market efficiency. Third, presents several innovation measures to promote the Chinese nature rubber futures markets to develop.
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