股指期货基差的非线性特征和均值回复机制研究  

Nonlinear features and mean reversion mechanism research based on the basis of stock index futures

作　　者：蒋勇[1,2] 吴武清[3] 叶五一[1] 陈敏[4] 缪柏其[1] 

机构地区：[1]中国科学技术大学管理学院统计与金融系,安徽合肥230026 [2]中国人民银行征信中心博士后科研工作站,北京100031 [3]中国人民大学商学院,北京100872 [4]中国科学院数学与系统科学研究院,北京100190

出　　处：《中国科学技术大学学报》2013年第12期989-996,共8页JUSTC

基　　金：国家自然科学基金(70221001;70331001;10628104;71003100);教育部人文社会科学研究青年基金(11YZC790015);安徽省自然科学基金(090416245);高等学校博士学科点专项科研基金(20103402120010);教育部人文社会科学研究一般项目(11YJC630270);中央高校基本科研业务费专项资金(11XNK027;10XNF020)资助

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.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.

关 键 词：基差 三阶段门限自回归模型 均值回复 非线性 

分 类 号：F840[经济管理—保险]