Efficiency Test in Chinese Plastic Futures Market

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.