Empirical Research Of Efficiency Hypotheses Of China's Agricultural Commodity Futures

The empirical research of efficiency hypotheses of financial market has always been the hot area in financial research. Such research about markets of securities, futures, foreign exchange in overseas, and domestic securities market, have been considerable successful.China is a leading agricultural nation, there are many staple crops in China have been formed a situation that mass production, mass consumption and big deal, such as rice, corn, wheat and soybean (non-genetically modified), etc. According to statistics, the yield of wheat and rice in China is the highest in the world; corn is the second largest, soybeans for fourth in the world. Thus it can be seen that agricultural futures is important in our country.Unfortunately, the empirical test of efficiency hypotheses of the domestic market of China's commodity future has not achieved many fruit. China's commodity future market is still lack of extensive and in-depth attention. Recent years, the market has developed very rapid, not only the sharp rise in trading volume, and gradually the pace of expansion accelerated the promotion of national economic development has become a major financial power, have gradually led to the theory of financial sector attention.From 70s, the academic circles have been testing the effectiveness of the securities market theory along the definition of Fama. In fact, Fama's definition is on information purposes, and many scholars to be the market price equal to the efficiency of the information efficiency of market functions. This study follows the previous research results, study on the price of the futures market research information efficiency. The research results of this paper is not only to get a clear understanding of China's agricultural development of the futures market situation in our country for people, but also to give us a judge about the efficiency of agricultural futures markets'measurable standard or method, which is also the largest value about effectiveness of the theoretical market theoreticalIn this paper, we take the prices of 6 selected agricultural commodity futures as the object of study. And, for examining the weak form efficiency hypotheses of china's agricultural commodity futures, we use the unit root test and the autocorrelation test together based on the data from 2003 to 2009. And the results of these tests tell us that we cannot reject the weak form efficiency hypotheses market in china...