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- W2380556415 abstract "This paper apply ESTAR model on the empirical study of the Hong Kong Hengseng stock_index 933,9312, 943 and SP 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." @default.
- W2380556415 created "2016-06-24" @default.
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- W2380556415 date "2003-01-01" @default.
- W2380556415 modified "2023-09-23" @default.
- W2380556415 title "Empirical study of nonlinear mean-reversion characteristic of stock-index futures" @default.
- W2380556415 hasPublicationYear "2003" @default.
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