Efficiency And Risk Analysis Of Chinese Futures Market

As we know those three theories, including the efficient market hypothesis(EMH), CAPM model and B-S Model for Option Pricing, are the bases of modern financial analysis. In this paper, I analyses the Chinese futures markets'efficiency and risk measurement by econometrician and symbolic logic methods.Firstly, I test the efficient market hypothesis. If prices follow a random walk model, this implies informational efficiency. Since presence of a unit root is not a sufficient condition for a random walk, we need to test for the presence of autocorrelation in residual. At the same time, VR test is important because an important property of the random walk hypothesis is that the variance of random walk increments should be a linear function of time. MVR test provides a procedure for the multiple comparison of the set of variance ratio estimates with unity. Furthermore, the use of cointegration technique to test efficiency of futures markets proves that future spot and futures price are cointegrated. The conclusions tell us the Chinese furures markets react more quickly to market information than before and begin promote the economic development.Secondly, I probe into the theoretics meaning of EMH. EMH won't be always efficient to a financial market. The financial market will be inefficacy to some extent. However, the temporary inefficacy makes the arbitragers and investors gain. There are inherent contradictions in EMH: the arbitragering and investing activities promote the market efficient but all the activities are nor free.If the market is be efficient for ever, the arbitragering and investing activities will disappear. The demonstrations tell us the Chinese futures market is efficient, but the market cannot always be efficient. Speculators may conduce the markets unbalance for a while. Sufficient arbitragers as a self-determination mechanism will induce the markets to get back balance.Thirdly, I study some questions about futures prices bases on EMH. Whether commodity futures price is the unbiased estimator of future spot price or not is a disputed question. The conclusions basis on the test about the wheat and bean cointegration equations tell us the proposition is true. Some foreign research conclusions find futures price is different from forward prices evidently. I approve price limits maybe one reason by constructing a portfolio.Fourthly, CAPM model which is consistent with EMH measures the relation of risk and return. It is very important of the tradeoff between risk and expected return in modern finance. The economists cannot dertermine the quantity relation of them until CAPM is eslablished. The precondition of the model is being linearity casuality between the expected return of an asset and variance of the market portfolio. CAPM model construct a model bases on risk and returns, which proposes the excess returns maybe come from the excess risk. I prove the unconditional CAPM model is not fit for Chinese futures markets by statistical methods.Fifthly, I propose some viewpoints about the Chinese risk management system. Chinese futures markets have been development more than ten years. However, the markets faultily bring into play the functions of expecting future spot price and hedge. To deal with the problem it is nessary of government controlling and self-discipline. Furthermore, the institutions of the third-class management system should introduce risk measurement mechanism to control risk. We should pay more attention to how to harmonize the relations of government wardship and self-discipline wardship and induce them to control risk by the way of risk measurement and system innovation. VaR is good to information disclosure and dismissing risk.