中国期货市场效率实证研究

华中科技大学博士学位论文中国期货市场效率实证研究姓名：齐明亮申请学位级别：博士专业：西方经济学指导教师：张宗成20040511中国期货市场效率实证研究作者：齐明亮学位授予单位：华中科技大学被引用次数：5次参考文献(149条)1.参考文献2.常清中国期货市场发展的战略研究20013.曲立峰我国农产品期货市场发展问题研究20014.张书帮中国期货市场规范化发展研究20005.日本全国商品交易员协会联合会期货市场入门19906.Fama,EfficientCapitalMarket:AReviewofTheoryandEmpiricalWork19707.FamaFoundationofFinance19768.郭茂佳股票市场效率论19999.ColinACarterCommodityfuturesmarkets:asurvey1999(02)10.殷晓峰转型经济中的期货制度创新论200111.BachelierLTheoryofSpeculation196412.CowlesACanStockMarketForecastersForecast?193313.BernsteinPCapitalIdeas:TheImprobableOriginsofModernWallStreet199214.SamuelsonProofthatProperlyanticipatedPricesFluctuateRandomly196515.MalkielBEfficientMarketHypothesis199216.RobertsHStatisticalversusClinicalPredictionoftheStockMarket196717.CrrossmanS.JStiglitzOntheImpossibilityofInformationallyEfficientMarkets198018.CampbellJV.AWLo.ACMacKinleyTheEconometricsofFinancialMarkets199719.WorkingHArandomdifferenceseriesforuseintheanalysisoftimeseries193420.CowlesA.JonesHSomeposterioriprobabilitiesinstockmarketaction1937(03)21.FamaEFThebehaviorofstockmarketprices196522.ComellBSpotrates,forwardratesandexchangemarketefficiency197723.ArnoldLarson对于期货价格随机过程的衡量1960(03)24.StevensonR.BearRMCommodityFutures:TrendsorRandomWalks?1970(25)25.BirdPJWNTheWeakFormEfficiencyoftheLondonMetalExchange198526.LeutholdRM.PGarcia.BDAdam.W.I.ParkAnExaminationoftheNecessaryandSufficientConditionsforMarketEfficiency:TheCaseofHogs198927.MandelbrotBTheVariationofCertainSpeculativePrices1963(36)28.EngleRAutoregressiveConditionalHeteroskedasticitywithEstimatesoftheVarianceofUKInflation198229.徐剑刚我国期货市场有效性实证研究1995(08)30.王志强.徐亚范.朱丽红大连商品交易所市场有效性检验1998(12)31.商如斌.伍旋期货市场有效性理论与实证研究[期刊论文]-管理工程学报2000(4)32.侯晓鸿.曾继民.李一智市场弱型有效检验方法研究--兼论我国商品期货市场效率[期刊论文]-管理工程学报2000(1)33.LoAW.MacKinlayCStockmarketpricesdonotfollowrandomwalks:Evidencefromasimplespecificationtest198834.FrenchKR.RollRStockreturnvariances:Thearrivalofinformationandthereactionoftraders198635.SummersLHDoesthestockmarketrationallyreflectfundamentalvalues?1986(03)36.SaidElfakhani.RitchieJWionzek,INTERMARKETSPREADOPPORTUNITIESBETWEENCANADIANANDAMERICANAGRICULTURALFUTURES1997(04)37.JeffreyWilliams.AnnePeck.AlbertPeck.ScottRozelleTheEmergenceofaFuturesMarket:MungbeansontheChinaZhengzhouCommodityExchange1998(04)38.BarrettWB.KolbRWAnalysisofspreadsinagriculturalfutures1995(01)39.WahabM.CohnR.LashgariMThegold-silverspread:Integration,cointegration,predictability,andex-antearbitrage1994(06)40.BigrnanD.DGoldfarb.ESchechtmanFuturesMarketEfficiencyandtheTimeContentoftheInformationSets1983(03)41.吴冲锋.顾常春铜1期货价格有效性实证研究-BGS模型[期刊论文]-系统工程理论方法应用1996(2)42.MaberlyEDTestingFuturesMarketEfficiency--ARestatement1985(05)43.ElamE.BLDixonExaminingtheValidityofaTestofFuturesMarketEfficiency1988(08)44.ShenCH.WangLRExaminingtheValidityofaTestofFuturesMarketEfficiency:AComment199045.EngleR.YooBForecastingandtestinginthecointegratedsystem198746.JohansenSStatisticalAnalysisofCointegrationVectors1988(12)47.JohansenSEstimationandHypothesisTestingofCointegrationVectorsinGaussianVectorAutoregressiveModels1991(59)48.JohansenS.JuseliusKTheFullInformationMaximumLikelihoodProcedureforinferenceonCo-integrationwithApplicationtotheDemandforMoney1990(52)49.LaiKS.MLaiACointegrationTestforMarketEfficiency1991(11)50.HHollyWang.BingfanKeEFFICIENCYTESTSOFAGRICULTURALCOMMODITYFUTURESMARKETSINCHINA200251.IrenaIvanovic.SeanPinder.PeterHowleyAnexaminationoftheAustralianwheatfuturescontract52.KeynesJMTreatiesonMoney193053.QuentinCChu.Wen-LiangGideonHsieh.YiumanTsepricediscoveryonthes&p500indexmarkets:ananalysisofspotindex,indexfutures,andSPDRs199954.GarbadeKD.SilberWLDominantandsatellitemarkets:astudyofduallytradedsecurities197955.GarbadeKD.SilberWLPricemovementandpricediscoveryinthefuturesandcashmarkets198256.QuanJTwosteptestingprocedureforpricediscoveryroleoffuturesprices1992(02)57.Schwarz.SzakmaryPricediscoveryinpetroleummarket:arbitrage,cointegrationandthetimeintervalofanalysis199458.KawallerIG.KochPD.KochTWThetemporalpricerelationshipbetweenS&P500futuresandtheS&P500index1987(05)59.StollHR.WhaleyREThedynamicsofstockindexandstockindexfuturesreturns199060.RaymondChiang.Wai-MingFongRelativeinformationalefficiencyofcash,futures,andoptionsmarkets:Thecaseofanemergingmarket200161.AndrewJFosterPricediscoveryinoilmarkets:atimevaryinganalysisofthe1990-91Gulfconflict1996(18)62.ChanKAfurtheranalysisofthelead-lagrelationshipbetweenthecashmarketandstockindexfuturesmarket199263.SilberWTheeconomicroleoffinancialfutures198564.海尔奈莫斯汤姆期货文集200065.凯恩斯货币论196266.希克斯价值与资本--对经济理论某些基本原理的探讨196267.HWorkingNewConceptsConcemingFuturesMarketsandPrices1962(52)68.LLJohnsonThetheoryofhedgingandspeculationincommodityfutures1960(27)69.HowardCT.D'AntonioLJArisk-returnmeasureofhedgingeffectiveness198470.HsinCW.KuoJ.LeeCFAnewmeasuretocomparethehedgingeffectivenessofforeigncurrencyfuturesversusoptions199471.CecchettiSG.CumbyRE.FiglewskiSEstimationoftheoptimalfutureshedge198872.FishburnPCMean-riskanalysiswithriskassociatedwithbelow-targetreturns1977(67)73.BawaVSSafety-first,stochasticdominance,andoptimalportfoliocho