Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 周应峰教授 (金融学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1002/(SICI)1096-9934(199812)18:8<871::AID-FUT1>3.0.CO;2-# |
引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/8WOS source URL
其它资讯
摘要Many researchers have found that spot and futures prices are not cointegrated in some commodity markets, or they are cointegrated but not with a cointegrating vector (1, - 1). One interpretation is that disturbances to excess returns have a unit root persistence, which implies that spot and futures prices do not move together one-for-one in the long run. To provide an alternative explanation for this finding, this article proposes a regime switching model of spot prices that can be viewed in the same framework as Fama and French (19http://aims.cuhk.edu.hk/converis/portal/Publication/8http://aims.cuhk.edu.hk/converis/portal/Publication/8), Based on this model, Monte Carlo experiments are performed to show that tests for cointegration and estimates of the cointegrating vector are likely to be biased when a sample contains infrequent changes in regime:, Taking these shifts into account, the null hypothesis that spot and futures prices are cointegrated and move together one-for-one in the long run can no longer be rejected. (C) 199http://aims.cuhk.edu.hk/converis/portal/Publication/8 John Wiley & Sons, Inc.
着者Chow YF
期刊名称Journal of Futures Markets
出版年份199http://aims.cuhk.edu.hk/converis/portal/Publication/8
月份12
日期1
卷号1http://aims.cuhk.edu.hk/converis/portal/Publication/8
期次http://aims.cuhk.edu.hk/converis/portal/Publication/8
出版社JOHN WILEY & SONS INC
页次http://aims.cuhk.edu.hk/converis/portal/Publication/871 - 901
国际标準期刊号0270-7314
电子国际标準期刊号1096-9934
语言英式英语
Web of Science 学科类别Business & Economics; Business, Finance; BUSINESS, FINANCE
