| With the world economic and financial globalization, the financial market of China is bound to increasing openness, which for the development of financial market is both a rare opportunity, but also a pressing challenge. Futures market is an important part of the financial market, although the market position and visibility of futures market in China are weaker than the securities and banking markets currently, but according to the experience of developed financial market abroad, and its process of financial globalization in China will play an important role, since the subject of futures contracts are related to people's livelihood assets, the bulk of basic products, and futures markets will affect the development of a country in the world market pricing of products in bulk and voice, thereby affecting the overall financial market development. Since the futures market's inception, its developing speed is very amazing; the development of futures market has brought enormous benefits. However, when the futures market develops rapidly, we should also continue to market the development and operation of the state of research and assessment, under the premise of proper risk control, summarize the past development experience and lessons learned, and then play for a better future lay the foundation.Since FAMA who is economists from the United States proposed the "efficient market hypothesis" theory, the foreign scholars have done a lot of empirical research. Effectiveness of the futures market is the premise and foundation to play functional role. when the futures market is valid, futures price discovery function can be better realized, in order to attract a large number of hedgers into the market, which can also better to avoid the risk of spot price fluctuations; and when futures markets is not valid, although function can not effectively market itself to achieve, but technical analysis and procedures of the investment strategy there is to play the space, time, the market will attract a lot of speculation and arbitrageurs enter the market. This shows the effectiveness of market research on the importance of the futures market.Firstly, from the model by the perspective of the different test methods were compared and summarized, and the first level of the weak effective test method was improved, the starting point of this improvement is based on a better note futures market development and effectiveness relationship. In order to better meet the test of the effectiveness and the weak, this paper proposes a time-based approach for the classification to classify the futures market, according to this method can be divided into the futures market early, middle, and the recent listing of three. Because the model by its own characteristics, random walk model by the third level model to the linear and nonlinear combination of test method provides a platform. This paper attempts to both linear and nonlinear test of fusion, one of the random walk model to extend the random disturbance term, the introduction of ARCHG and ARCH models; the other hand, the evidence is now just emerging, and works well in The rescaled range method (R/S method) is introduced into the effectiveness of the third test of the weak level, both to enrich the conclusions of empirical results can also be more convincing. Secondly, the selected object is also different from previous empirical studies, the paper selected most commodity futures species as the empirical object of study. The reason for this is that the futures market itself is an organic whole, if there is only a partial selection of several studies on behalf of the futures to come to the effectiveness of the futures market of China, there is too sweeping conclusions suspected. Most varieties of a comprehensive and comparative study of classified research may find a number of different conclusions and phenomena. Moreover, the number of species isn't too big, and the using of the computer can also realize the variety of empirical research. In this paper, almost all of the futures is selected to research. Finally, this paper proposes three different dimensions to the conclusions of the futures contracts are classified and analyzed, including exchanges, industry sector and time to market. These are different from previous studies this aspect can be considered as an innovative attempt.In this paper, MatLab, EViews, EXCEL and other measuring tools and software operations are used to do price data analysis and research. In the empirical validity of the weak, the use of forward and reverse test demonstrated the combination of ideas, which means that a variety of testing methods are conducted on the effectiveness of all levels of positive empirical test, and then through the next level of test results reverse verification. After the empirical results of empirical testing and analysis, we draw that most of futures market prices do not meet random walk.From the exchange point of view, between the three commodity futures exchanges of China, the effectiveness of Zhengzhou Commodity Exchange is relatively high; the contract of Shanghai Futures Exchange spread out in all levels of the weak effective, its effectiveness is in the middle of the all; The contracts of Dalian Commodity Exchange are mainly in the void level. From the Industry point of view, the weak form efficiency in different futures industry has different number and varies distribution of contracts. The effectiveness of futures levels of the chemical industry in the first level of the basic distribution of the weak effective the following, the effectiveness of chemical is poor; metals and agricultural industries in China's commodity futures account for a large proportion, and both of them are better than the chemical industry; energy futures industry has no relevant comparisons. From time to market perspective, the efficiency of recent futures is worst; the early ones is relatively better, although most varieties are invalid and effective between the first and second level distribution. The medium futures listed on weak effective at all levels, which is better than the previous two kinds of futures.The relationship of time to market and the contractual effectiveness of the whole also present an increased first and then decreases. Empirical process has been a rather strange conclusion that, with the development of China's futures market, market efficiency is not always increased after reaching the weak efficient market efficiency but decreased gradually, reaching invalid. Effectiveness of the degree of weak futures market development time with a certain correlation exists. With the continuous development of the futures market, the effectiveness of futures has decreased after increasing, characteristics associated with the contract this time to market and effectiveness of the relationship between the similarities of these two conclusions can be cross-checked. The yield distribution of trading price of the futures contract in futures market showed peak, fat tail features, but partial rating, both the right side, there are left side, and the majority of the left side of the species, nearly 60%of the total number of species. Return distribution has both the right side left side, but most of the futures of the deviation are not very significant. Zinc futures price return distribution also showed a degree of normality. There is a continuing feature strongly in price of the futures contract. Concrete manifestation of this feature is that if the futures price is rising the previous day, we can be a large probability that the price of the day will also rise, and vice versa. At this point, the results of this study are the same with the existing research results about futures. There is correlation in price variation of the futures contract. This phenomenon is the result from the analysis results of R/S test. |
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