欢迎您！东篱公司
退出
-
申报数据库
-
立项数据库
-
成果数据库
-
项目获奖数据库
中文摘要：
只有当股指期货与现货之间的基差足够大到能够补偿交易成本时，指数套利者才会进入市场进行套利．利用三阶段门限自回归模型研究了我国股指期货市场的非线性特征及均值回复机制，并给出了有别于传统持有成本模型的无套利区间．实证结果表明：该模型刻画了股指期货市场的非线性均值回复特征；由模型识别出的门限值反映出我国反向套利成本过高的事实．
英文摘要：
Index arbitrageur will enter into the market only when the basis between the stock index futures and the stock index is large enough to compensate for the transaction costs. The three-regime threshold autoregressive model was used to study the nonlinear characteristics and mean reversion mechanism of the Chinese stock index futures market, and the no-arbitrage interval which is different from the traditional interval of cost-of-carry model was given. The empirical results show that the nonlinear characteristics are illustrated by the model, and that the threshold identified by the model reflects the fact that the reversal arbitrage cost is too high in China.
同期刊论文项目
同项目期刊论文
期刊信息
位置：