DocumentCode
571410
Title
Efficiency Test in Chinese Plastic Futures Market
Author
Chen, Rongda ; Wang, Weijin ; Li, Wenlong
Author_Institution
Sch. of Finance, Zhejiang Univ. of Finance & Econ., Hangzhou, China
fYear
2012
fDate
18-21 Aug. 2012
Firstpage
404
Lastpage
407
Abstract
In order to test the efficiency of Chinese plastic futures market, we firstly use variance ratio under random walk model to test the price sequences of LLDPE and PVC, which shows that this market is of week form efficiency. Then an assistant method, JJ Cointegration test is completed, which shows that the market is efficient in the short run concerning the price discovery function. The two methods make it clear that Chinese plastic futures market is in weak form efficiency in the short term, and the price discovery functions well.
Keywords
market opportunities; plastics industry; pricing; time series; Chinese plastic future market; JJ Cointegration test; LLDPE; PVC; price discovery functions; price sequences; random walk model; variance ratio; Contracts; Equations; Finance; Mathematical model; Plastics; Standardization; Testing; Chinese plastic futures market; JJ Cointegration test; variance ratio; weak form efficiency;
fLanguage
English
Publisher
ieee
Conference_Titel
Business Intelligence and Financial Engineering (BIFE), 2012 Fifth International Conference on
Conference_Location
Lanzhou
Print_ISBN
978-1-4673-2092-4
Type
conf
DOI
10.1109/BIFE.2012.91
Filename
6305154
Link To Document