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基于风格动量效应的股指期货套利策略 被引量:4

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摘要 有效市场理论认为,市场会根据已知的信息做出相应的反应,任何投资策略都不可能获得超额投资收益。Jegadeesh、Titman(2002)提出的风格动量效应,对有效市场理论形成了挑战。以动量效应为切入点,通过游程检验判断A股市场是否存在风格动量效应,利用指数平滑方法过滤噪声信息,提出我国股指期货风格套利策略。
作者 孔令涛
出处 《金融理论与实践》 北大核心 2015年第10期77-80,共4页 Financial Theory and Practice
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共引文献410

同被引文献35

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