Variance ratio tests of weak-form efficiency for futures markets

If prices follow a random walk model, this implies informational efficiency Since presence of a unit root is not a sufficient condition for a random walk, we need to test the presence of autocorrelation in residuals. At the same time, VR test is important because an important property of the random walk hypothesis is that the variance of random walk increments should be a linear function of time. MVR test provides a procedure for the multiple comparison of the set of variance ratio estimates with unity. The conclusions tell us we cannot reject weak-worm efficiency market hypothesis in Chinese futures markets.