摘要
本文试图对循环套利理论的理论基础进行研究,文章通过对中国证券市场的实证研究,国际市场的实证研究,结合有效市场理论以及行为金融学的优点,提出了证券市场是围绕价值中枢大幅度波动的动态运动的市场,由于市场的这种特征使得我们可以利用价值的偏差,卖空一部分证券与买进一部分证券进行循环套利。
This paper is a trying basic research of theory of circulation arbitrage, through research cases of China Markets and International Markets , combine the advantage of theory of efficient capital markets with theory of behavioral finance, advance a new point: Security Markets is a dynamic motion markets which has a great price fluctuation surrounding value center. When we find a value deviation in the Markets, we can use this feature to sell some securities and to buy some securities to get circulation arbitrage.
出处
《华东经济管理》
2004年第3期136-140,共5页
East China Economic Management
关键词
价值
有效市场
行为金融学
套利
value
efficient capital markets
behavioral finance
arbitrage
