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
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;
Conference_Titel :
Business Intelligence and Financial Engineering (BIFE), 2012 Fifth International Conference on
Conference_Location :
Lanzhou
Print_ISBN :
978-1-4673-2092-4
DOI :
10.1109/BIFE.2012.91
