Threshold non-linear dynamics between Hang Seng stock index and futures returns
Publication in refereed journal


香港中文大学研究人员 ( 现职)

陈伟森教授 (金融学系)

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数位物件识别号 (DOI) ○○@http://aims.cuhk.edu.hk/converis/portal/Publication/2$@○○

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Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/2WOS source URL

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摘要We test the joint dynamics between the Hong Kong Hang Seng Index futures and the underlying cash index using a Bivariate Threshold AutoRegressive model, which is better able to capture the complex return dynamics evident in financial time series. The results are consistent with a three-regime version of the model, where the lead-lag relation between the index and futures returns is a non-linear threshold-type and the regime switching process depends on the state of the threshold variable. This interaction is symmetric rather than unidirectional, with the strength of the interaction dependent on the regime. These three regimes are also characterised by significant variation in volume, which is consistent with liquidity-induced arbitrage trading.

着者Chung HL, Chan WS, Batten JA
期刊名称EUROPEAN JOURNAL OF FINANCE
出版年份http://aims.cuhk.edu.hk/converis/portal/Publication/2011
月份1
日期1
卷号17
期次7
出版社Taylor & Francis (Routledge): SSH Titles
页次471 - 486
国际标準期刊号1351-847X
语言英式英语

关键词futures markets; Hang Seng index; lead-lag relationship; non-linearity test; threshold autoregression
Web of Science 学科类别Business & Economics; Business, Finance; BUSINESS, FINANCE