Are Chinese soybean future markets efficient? A fractal analysis

作者：Zhao Yu^*; Zhang Yu; Zou Xiaoming

来源：African Journal of Agricultural Research, 2011, 6(16): 3897-3902.

• Weak-form efficiency
• fractal market
• soybean futures markets
• fractal dimension

China is the world's fourth-largest soybean producer and is also the biggest soybean importer. Although China has the largest non-genetically modified soybean futures markets, "whether Chinese soybean future markets are efficient or not" is always the matter at issue in academia. Through reviewing related literatures, we find that most of them adopt traditional econometric model. However, their conclusions are contradictory. Part of the literatures is improper for understanding efficiency, data selection and method application. According to fractal market theory, the article measures the Hurst index and Hausdorff fractal dimension of return series of Chinese soybean futures dominant contract by using R/S, R/S (q), V/S and V/S (q). The results show that the return series of Chinese soybean futures dominant contract has long-term memory; thus, Chinese soybean futures markets are not weak-form efficient.

• 出版日期2011-8-18
• 单位东华理工大学