A Study On The Long Memory Of Price Volatility Of Wheat Futures Between China And The United States

With the development of financial markets, many anomalies challenge to the efficient market hypothesis based capital market theory. Research on the financial markets transactions and investor behavior shows that there is a certain distance between the assumptions of capital market theory and reality.Long memory theory is a good example for the effective issues of financial market in-depth exploration.This paper selects March 28, 2003 to May 23, 2013 section of Sino-US wheat futures commodity sample, by contrast common theoretical approaches Long Memory, select the V / S and V statistics research methods to study long memory problems of return yields and return volatility. Empirical findings(1) Long memory of return series from the two markets is not significant, and long memory of earnings volatility series in both markets is significantly.(2) there is a difference of long memory cycle between two markets. Long memory cycle in US wheat futures is shorter than the wheat futures market in China.(3) Further study found that trading system, market effectiveness, transaction size and investor rationality are reasons of the long memory differences between the two markets.