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.
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
