Study On The Efficiency Of Chinese Futures Market

Normative and proper Futures market is really needed in mature socialistic market economy. Constant spot market , price discovery and price risk hedging can only be achieved in mature and effective futures market. Based on effective market theory, this article uses demonstration analysis and contrast method. By analyzing the distribution and volatility of the return rates of Chinese soybean futures , it has been found that there exists the ARCH effect in the return time series .Through fitting and statistic test, the GARCH(1 ,l)model shows that the fluctuations of the soybean futures markets have great persistence .By the GARCH(1 ,l)model, we verify that the three stages of the Chinese futures market don't reach the stage of weak market efficiency until now ,which proves to be of high risk . Meanwhile, through comparing the efficiency of the three stages of Chinese futures market, it has been found the efficiency of Chinese futures market has been improved a lot. In the final chapter, the efficiency of the Chinese futures market has been thoroughly analyzed and some specific approaches have been put forward, which intends to provide the government with some helpful suggestions for making policy of the normative development of the futures market.