Abstract: In this paper,we take the prices of some selected commodity futures as the object of study.Since presence of a unit root is not a sufficient condition for a random walk we need to test for the presence of autocorrelation in residual.At the same time,VR test and MVR test provide another procedure to test the random walk hypothesis,which infers to the weak-form efficency of five future markets.The conclusions tell us we cannot reject weak-form efficiency market hypotesis in those five future markets.

Key words: future price, market efficiency, random walk