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Nonlinear mean reversion in stock prices: evidence from Asian markets

✍ Scribed by Lim, Kian-Ping; Liew, Venus Khim-Sen

Book ID: 120467395
Publisher: Taylor and Francis Group
Year: 2007
Tongue: English
Weight: 111 KB
Volume: 3
Category: Article
ISSN: 1744-6546
DOI: 10.1080/17446540600796073

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## Abstract Several stylized theoretical models of futures basis behavior under nonzero transactions costs predict nonlinear mean reversion of the futures basis towards its equilibrium value. Nonlinearly mean‐reverting models are employed to characterize the basis of the S&P 500 and the FTSE 100 in