Empirical Analysis And Countermeasures On Market Efficiency Of Chinese Natural Rubber Futures Markets

With the continuous economic growth in China and booming prosperity of the automotive industry, the demand for natural rubber is increasing. However, due to geographical constraints, we can provide domestic natural rubber production is far less than the actual needs of the country, leading to the obvious contradiction between supply and demand. Additionally, a major exporter of natural rubber in order to increase the price of natural rubber to form export alliances with intent to cause shortages, resulting in international natural rubber price fluctuations have become more frequent. Because of excessive dependence on imports of natural rubber, resulting in a weak position in price negotiations,only to high-priced imports of natural rubber. Futures with a strong price discovery and risk aversion functions, is widely used to investors avoiding price risk. The effectiveness of the futures market is to study whether the futures market, together with the spot market is expected to make the future trend of the market reaction to avoid the adverse effects of price risks.So, research and analysis of the current effectiveness of the natural rubber futures market is of great practical significance, but also on the development of Chinese rubber industry has played a crucial role. In this paper, put the futures price discovery and risk aversion functions as the starting point, and then contrast by introducing the basic theory of market efficiency and testing methods at home and abroad. Through the unit root(ADF) test, cointegration test and Granger causality test of the natural rubber spot price and futures price, from the perspective of the price discovery function to analysis the effectiveness of Chinese natural rubber futures market; and through stationary test, autocorrelation test, ARCH effects test and build GARCH model of Chinese natural rubber futures yields, to study the risk of price fluctuations on natural rubber futures market in China. Finally, through the analysis and summary, put forward countermeasures and suggestions for improving the effectiveness of natural rubber futures market in China.