A Research On Market Efficiency Of PTA Futures And Trading Strategy

Chinese futures market is in a wide variety with large-scale transactions,especially commodity futures.The prices of various futures varieties will be affected by political changes from domestic and international,economic changes and natural disasters and many other aspects of the impact.In this situation,it is difficult to decide whether to trade a variety and choose the appropriate rational trading strategy.So it' s significant to study the question.This paper attempted to test the PTA futures market effectiveness and predict the future market price of PTA futures through using macro indicators,industry indicators and other public information.It could provide a reference for investors.First of all,this paper analyzed the PTA futures market liquidity pattern and generated a continuous price sequence for follow-up analysis according to the main contract.The empirical results show that the months of the PTA futures contract are mainly concentrated in the January contract,May contract and September contract and the duration of the main contract is not regular.But the average duration of three main contract is about 80 trading days,that is,about 4 months.Then,we verified the weak validity of the PTA futures market using the unit root test.The ADF test statistic is significantly greater than the critical value under the 1%confidence level.This indicates that the PTA futures logarithmic price series is a unit root process and subject to random walk,that is,PTA futures market is weak efficient market.Next,we verified the PTA futures market semi-strong type of effectiveness using the event research method.This paper selected the British off Europe as a target event.The results show that the T statistic after June 24,2016 is significantly greater than the critical value under the 1%confidence level.This shows that the cumulative abnormal rate is significantly different from the 0 and the target event has a significant impact on the PTA futures prices.This concludes that PTA futures market is not the semi-strong efficiency market,and we can make a profit through the event research strategy theoretically.Finally,this paper predicts the future market of PTA futures using the binary logistic regression model.We choose the actual value and forecast value of money supply,the forecast value and all industrial products value of production price index,the industrial producer purchase price index(chemical raw materials and textile raw materials),the Brent crude oil price change rate and the change rate of polyester chip as independent variables.The overall probability of the model is 0.00,which is less than the significance level of 5%,The prediction accuracy rate is 86.9%.It is concluded that the PTA futures market can rely on the logistic regression model to forecast the future market of PTA futures,and we can develop the corresponding trading strategy accordingly.