DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kim, Bong-Han | ko |
dc.contributor.author | Chun, Sun-Eae | ko |
dc.contributor.author | Min, Hong Ghi | ko |
dc.date.accessioned | 2011-11-08 | - |
dc.date.available | 2011-11-08 | - |
dc.date.created | 2012-02-06 | - |
dc.date.created | 2012-02-06 | - |
dc.date.issued | 2010-03 | - |
dc.identifier.citation | ECONOMIC MODELLING, v.27, pp.566 - 573 | - |
dc.identifier.issn | 0264-9993 | - |
dc.identifier.uri | http://hdl.handle.net/10203/25490 | - |
dc.description.abstract | Using a three-regime threshold error-correction model, we investigate the nonlinear dynamics of the S&P 500 index and futures. First, using the SupLM statistic, we report estimates of two thresholds for the three-regime model to explain the nonlinear dynamics in arbitrage of the S&P 500 index and futures. This provides empirical evidence of the no-arbitrage band predicted by the cost-of-carry model. Second, using quasi-maximum likelihood estimation, we demonstrate that those indexes that are located outside the no-arbitrage band are a nonlinear stationary process of mean-reversion to the no-arbitrage band. However, index and futures that are located within the no-arbitrage band are non-stationary. Third, we confirm an earlier finding that futures price leads the nonlinear mean-reverting behavior of the index but not vice versa. Impulse response function analysis and forecasting performance of three-regime error-correction model reinforce our findings and our estimation results are robust with different specifications of pricing error terms and endogenous variables. (C) 2009 Elsevier B.V. All rights reserved. | - |
dc.language | English | - |
dc.language.iso | en_US | en |
dc.publisher | ELSEVIER SCIENCE BV | - |
dc.subject | STOCK INDEX | - |
dc.subject | NUISANCE PARAMETER | - |
dc.subject | TRANSACTION COSTS | - |
dc.subject | COINTEGRATION | - |
dc.subject | MARKET | - |
dc.subject | ADJUSTMENT | - |
dc.subject | TESTS | - |
dc.subject | RETURNS | - |
dc.subject | CASH | - |
dc.title | Nonlinear dynamics in arbitrage of the S&P 500 index and futures: A threshold error-correction model | - |
dc.type | Article | - |
dc.identifier.wosid | 000277498500009 | - |
dc.identifier.scopusid | 2-s2.0-75149153938 | - |
dc.type.rims | ART | - |
dc.citation.volume | 27 | - |
dc.citation.beginningpage | 566 | - |
dc.citation.endingpage | 573 | - |
dc.citation.publicationname | ECONOMIC MODELLING | - |
dc.embargo.liftdate | 9999-12-31 | - |
dc.embargo.terms | 9999-12-31 | - |
dc.contributor.localauthor | Min, Hong Ghi | - |
dc.contributor.nonIdAuthor | Kim, Bong-Han | - |
dc.contributor.nonIdAuthor | Chun, Sun-Eae | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordAuthor | S& | - |
dc.subject.keywordAuthor | P 500 index and futures | - |
dc.subject.keywordAuthor | Three-regime threshold ECM | - |
dc.subject.keywordAuthor | SupLM test | - |
dc.subject.keywordAuthor | No-arbitrage band | - |
dc.subject.keywordPlus | STOCK INDEX | - |
dc.subject.keywordPlus | NUISANCE PARAMETER | - |
dc.subject.keywordPlus | TRANSACTION COSTS | - |
dc.subject.keywordPlus | COINTEGRATION | - |
dc.subject.keywordPlus | MARKET | - |
dc.subject.keywordPlus | ADJUSTMENT | - |
dc.subject.keywordPlus | TESTS | - |
dc.subject.keywordPlus | RETURNS | - |
dc.subject.keywordPlus | CASH | - |
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