An Empirical Study On Market Efficiency Of Chinese Commodity Futures Market

To test the efficiency of the futures market, we not only need to test the efficiency of the futures price, but also the efficiency of the futures market function. Therefore, we firstly use the random walk model to test the efficiency of the futures price of Chinese commodity futures market, copper, aluminum, wheat and soybean futures based on the theory of efficient market in this paper, then we use the Granger causality model and cointegration model to test whether these four futures markets have the function of price discovery and risk aversion.The random walk test showed that China's copper and aluminum futures markets are vulnerable to market effective, but market efficiency is still relatively low, while soybean and wheat futures markets failed to meet market weakness effective, market efficiency is lower than copper and aluminum futures market.The Granger causality test showed that, in addition to the aluminum futures markets, copper, soybean and wheat futures markets all have longer-term price guide relationship to their respective spot markets. Therefore, copper, aluminum, soybean and wheat futures markets all have a certain price discovery function.The Cointegration test showed that, in addition to the wheat futures markets, the spot markets of copper, aluminum and soybeans have cointegration relationship with their respective futures markets. So the risk is relatively low to hedge in such three futures markets but the wheat futures market.