| 股指期货价格非线性均值回复特性实证研究 |
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| 引用本文： | 叶峰,张弢,唐国兴. 股指期货价格非线性均值回复特性实证研究[J]. 管理科学学报, 2003, 6(5): 40-45 |
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| 作者姓名： | 叶峰 张弢 唐国兴 |
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| 作者单位： | 复旦大学管理学院,上海,200433 |
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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&P 500 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.
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| 关 键 词： | 股指期货 非线性均值回复 ESTAR 模型 |
| 文章编号： | 1007-9807(2003)05-0040-06 |
| 修稿时间： | 2002-04-15 |
Empirical study of nonlinear mean2reversion characteristic of stock2index futures |
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| Abstract: | 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 Hengsengstock-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 de2velopment 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 |
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| Keywords: | stock-index futures nonlinear deviation ESTAR model |
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