股指期货价格非线性均值回复特性实证研究被引量：11

Empirical study of nonlinear mean-reversion characteristic of stock-index futures

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摘要用ESTAR模型对香港恒生指数期货933、9312、943合约及S＆P500指数期货933、9312、943合约价格进行了实证研究,发现恒生指数期货933、9312合约实际价格呈现非线性均值回复,而其他各合约实际价格呈现线性均值回复.结论:由于股票现货没有卖空机制使套利成本较大,抑制了套利行为,导致期货合约实际价格呈现非线性.在股票现货没有卖空机制的市场条件下,单向套利的机会要比成熟的市场更多. This paper apply ESTAR model on the empirical study of the Hong Kong Hengseng stock_index 933,9312, 943 and S&P 500 stock_index 933, 9312, 943, and the study result is that the price of Hong Kong Hengseng stock_index 933, 9312 appear the nonlinear characteristic, but others appear the linear characteristic. Accordingly, we can get such conclusion: the absence of stock short system makes the arbitrage cost bigger and restrains the development of the arbitrage. Under such market, the price of the stock_index appears the nonlinear characteristics. However, the chance of unilateral arbitrage under such market is more than that in the developed market.

作者叶峰张弢唐国兴

机构地区复旦大学管理学院

出处《管理科学学报》 CSSCI 2003年第5期40-45,共6页 Journal of Management Sciences in China

关键词股指期货非线性均值回复 ESTAR模型 stock-index futures nonlinear deviation ESTAR model

分类号 F731.1 [经济管理—产业经济]

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