,,,,,,,,,,, ( 2006 (2007 (2007,,,, /, :,,,, /,, ;, DF NDF,, ;, DF,,, / :, /, / ;, ; / /,, / ( /, : G t = S t e ( r d - r f ( T - t (1 S t t, G t t, T,

: / 3 DF NDF /,, /,,, /, NDF /,,, /, Cornell French ( 1983 Modest Sundaresan (1983 Figlewski (1984 MacKinlay Ramaswamy (1988 B rennan Schwartz (1990 Yadav Pope (1990 Sofianos (1993, Mackinlay Ra2 maswamy (1988 B renman Schwartz (1990 Yadave Pope ( 1990 1994 Strickland Xu ( 1990 L im (1992,,,, Modest Sundaresan ( 1983 Chung ( 1991 Klemkosky Lee (1991 Roll (2007, 3 : 361005 : aronge@ xmu. edu. cn; : : zlzheng@ xmu. edu. cn (70741012 : (07JA790077, 2009 6 64

,,,,,,,,,,, ( 2006 (2007 (2007,,,, /, :,,,, /,, ;, DF NDF,, ;, DF,,, / :, /, / ;, ; / /,, / ( /, : G t = S t e ( r d - r f ( T - t (1 S t t, G t t, T, r d r f T - t, (1, / ( : B t = ln ( F t - ln (G t = ln ( F t - ( r d - r f ( T - t (2 ( non - deliverable forward, NDF,, ( deliverable forward, DF, (2006 2009 6 65

: / ln ( F t ln (G t, (2 (1,, B t 0 ( /,,, ln ( E (S T ln ( F t ( T t ( T - t ( ln ( E (S T - ln ( F t = t ( T - t (3 (3, : ln ( E (S T = ln (S t + y t ( T - t (4 y t = ( r t - q t + t, q t (, (3 (4 : ln ( F t = ln (S t + ( r t - q t ( T - t (5, r t q t, (5,, (4 (5,, / (4, ln ( E (S T ln ( S t,, (5,,, (3, / : B t = ln ( F t - ( r d - r f ( T - t = ln ( E (S T - t ( T - t - ( r d - r f ( T - t = [ ln ( E (S T ] - [ ( r d - r f ( T - t + t ( T - t ] (6 (6 :,, (6 T - t,, /, (,, (6 : ln ( E (S T - ln (S t t,,,, /, (3, (2007 2008, Engle (1996, F T = S T, ln ( E ( S T = ln ( E ( F T, P (0, T ( numeraire,, ln ( E ( S T - ln ( F t = t ( T - t - t t ( T - t, t t P (0, T, - t t ( T - t, 2009 6 66

,, /,, / (, DF NDF 5 (1 3 6 9 12 /, wind, L IBOR, 1 9 2006 3 1 2008 8 8,, 583 12, 2006 5 12 2008 8 8, 538 :, (2,,, 1, DF NDF 5, t, 1 10%,, I(1, (1 (2, lnf t lns t ( r d - r f ( T - t,, DF NDF,, DF NDF 5,,,, 1 Perron (1989, ADF,,,, Banerjee (1992, ADF D B = B - 1 + + + p i B - 1 i =1 + k D +, IID (0, 2 L IBOR, ; SH IBOR, SH IBOR,,,,,,,,,,, 2009 6 67

: / D, ( : D = ( t 1 : D = 0, k - k, > k, k = [ 0. 15N, 0. 85N ] (, 15% 85% D, ADF,,,, t ( p 0, k 1, > k / AD F 1 ADF ADF DFB1M - 0. 0018 1-2. 54-21. 63 333 DFB3M - 0. 0056 1-1. 46-30. 01 333 DFB6M - 0. 0124 1-0. 97-30. 83 333 DFB9M - 0. 0207 1-0. 86-30. 17 333 DFB12M - 0. 0300 1-0. 46-27. 33 333 NDFB1M - 0. 0035 2-3. 04-21. 92 333 NDFB3M - 0. 0101 1-2. 53-27. 40 333 NDFB6M - 0. 0206 0-2. 01-24. 48 333 NDFB9M - 0. 0313 0-1. 47-24. 60 333 NDFB12M - 0. 0453 0-0. 80-22. 91 333 ln (S 2. 0243 0-1. 56-23. 83 333 ln (S 12m 2. 0194 0-1. 72-22. 80 333 ln (D I 4. 3899 0-2. 14-24. 70 333 ln (D I 12m 4. 3818 0-2. 69-24. 37 333 : (1 DFB NDFB / DF NDF, ln (S ln (D I / SIC, 12m 538 ; (2 ADF ADF 2 2 2, ADF,, SIC ( 18 333 33 3, DF NDF :, 10%, DF NDF, lnf t lns t ( r d - r f ( T - t, 1% 5% 10% 583 538, 10% - 3. 13 DF NDF N, Banerjee (1992, 1, Banerjee (1992,, 2009 6 68

2009 6 69

: / 2 ADF DFB1M 2007 /9 /13 2008 /3 /27-2008 /3 /3 - NDFB1M 2007 /9 /6 2008 /3 /13-2008 /3 /6 - DFB3M 2007 /9 /13 2008 /3 /19-2008 /2 /25 - NDFB3M 2007 /9 /6 2008 /3 /13-2008 /3 /6 - DFB6M 2007 /9 /17 2008 /3 /18 2007 /11 /20-2008 /1 /2 2008 /2 /25 - NDFB6M 2007 /9 /6 2008 /3 /13-2008 /3 /5 - DFB9M 2007 /9 /11 2008 /3 /19 2007 /11 /16-2008 /1 /18 2008 /2 /22 - NDFB9M 2007 /9 /17 2008 /3 /13-2008 /3 /5 - DFB12M 2007 /9 /19 2008 /3 /10 2007 /11 /12-2008 /2 /13 2008 /2 /22 2006 /12 /5-2007 /8 /24 NDFB12M 2007 /9 /17 2008 /3 /13 2007 /11 /27-2007 /12 /4 2008 /3 /5 - :,, DF NDF, :,, k t, 1% ( k = 0,, :, 2007 9 6 2007 9 17,, /, ;, 2008 3 10 2008 3 27, /, 1%, 2008 2 22 2008 3 6, : 2007 9 15 9 18, 0. 27 0. 5 ( r d - r f,,, /,, 2008 2 3, 6,, /,,, /,,, ;,,, 6 9 1 DF 1 NDF 2009 6 70

ADF 2007 11 2008 2 ADF,,,,,,,, / :, 2008 8, DF NDF, /, :, ln ( E (S T t,,, E (S T S T, ln (S T ln ( E (S T (S t, t :, : - ln ln (S T = E ( ln (S T + v T v T, (6 : ln (S T = 0 + 1 [ ln ( F t ] + u T (7 1 ln ( F t, 0 t ( T - t, u T, -,, ;,, 3, NDF 1 ln ( S T - ln (S t ln ( F t (7, ln ( S T - ln ( S t ln ( F t,, (7, ( Engle, 1996, /, NDF1 DF 12 ADF 2006 12 2007 8,, ln ( S T = E ( ln ( S T + v T, (6 ln ( E ( S T, Jensen s, ln ( E ( S T E ( ln ( S T, Jensen s McCulloch (1975,, Engel(1984,, ln ( E ( S T = E ( ln ( ST 2009 6 71

: / NDF 1 (7, (overlapp ing,, Newey - W est,, 4, 0. 6, 1% 1 = 0, 1 NDF, ln ( F t ln (S T 0, / 1 NDF ( the forward p rem ium puzzle MacDonald (2007,, 1 NDF /, 1, NDF, 1% 1 = 1, NDF, 1 NDF 3 : ln ( F t ln (S T 0 1 DFB1M - 2. 1778-4. 3073 333 - - - - DFB3M - 1. 9862-2. 4867 13. 0869 10. 4717 2. 6152 2. 6152 DFB6M - 1. 4465-1. 6030 6. 9308 4. 8956 2. 0351 2. 0351 DFB9M - 2. 5151-1. 8327 9. 5811 7. 6618 1. 9192 1. 9192 DFB12M 0. 1325-1. 9114 9. 9399 7. 9656 1. 9743 1. 9743 NDFB1M - 3. 5927 33-4. 3073 333 - - - - NDFB3M - 3. 6168 33-2. 4867 - - - - NDFB6M - 3. 1172-1. 6030 12. 083 8. 9054 3. 1776 3. 1776 NDFB9M - 2. 2716-1. 8327 4. 2117 4. 1768 0. 0349 0. 0349 NDFB12M - 2. 3399-1. 9114 7. 0963 7. 0189 0. 0773 0. 0773 : 333 33 3 1% 5% 10% I(1, 4 : NDF1 (Newey - W est ADF ln (S T = - 0. 0027 ( - 3. 2170333 R 2 = 0. 1276 + 0. 5953 [ ln ( F t (3. 9823333 ( - 2. 7069333 - ln (S t ] - 5. 13E - 19 ( - 2. 81E - 15-3. 6970 333 : 1 t, t, 333 1%, 1%,,, 2009 6 72

,, 1 NDF 1,,, NDF,,,,, :, /, :,??,,, Frankel Froot (1987,,,,, / ln ( E (S T,, / ln ( E (S T, /, 4 : (1 ( static expectations, : E t ( ln (S T = ln (S t (2 ( extrapolative expectations, : E t ( ln (S T = + ( ln (S t - 1 (3 ( adap tive expectations t - k t, : E t ( ln (S T = + ( ln (S t - E t- k ( ln (S t (4 ( regressive expectations S t, : E t ( ln (S T = + ( ln (S t ln (S t 3,, /,,, 2009 6 73

: / E t ( ln (S T - ln (S t, : B t B t- 1 = + ( ln (S t ln (S t- k - E t- k ( ln (S t + ln (S t- k + t = + ( ln (S t - k - B t- k + t,,,, ;, /,,, : B t B t- 1 = + ( ln (S t ln (S t- 1 + t, (,,,,,, VAR Granger,,,,, /,, VEC Granger ; Granger 5 5 : Granger d (B d ( lns d ( lndi d ( lns d ( lndi d (B d ( lndi d (B d ( lns DFB1M 3 0. 8749 0. 9547 1. 6314 312. 5144 333 6. 5182 33 0. 0851 DFB3M 4 7. 5620 3 12. 2422 333 7. 0868 3 308. 5754 333 1. 2891 0. 5198 DFB6M 4 14. 598 333 6. 9580 3 8. 7911 33 306. 7463 333 2. 6236 0. 5401 DFB9M 3 2. 9701 2. 4590 1. 8982 303. 9733 333 2. 0199 0. 0232 DFB12M 3 0. 6121 1. 2389 2. 2318 305. 8830 333 6. 0704 33 0. 1322 NDFB1M 4 9. 4835 33 34. 659 333 16. 980 333 258. 3271 333 1. 7741 0. 8771 NDFB3M 5 19. 4818 333 19. 621 333 11. 365 3 3 272. 6048 333 5. 1867 0. 2072 NDFB6M 5 12. 7655 3 3 8. 6140 3 13. 090 33 277. 0446 333 4. 2836 0. 3630 NDFB9M 3 2. 8252 3. 2830 5. 2349 3 281. 2512 333 0. 0778 0. 0319 NDFB12M 5 11. 6208 33 8. 9513 3 9. 5195 33 268. 2179 333 5. 0945 1. 1323 : d (B d ( lns d ( lndi, Granger, 333 33 3 1% 5% 10%, NDF, 9 NDF, 3 5, t, 2009 6 74

/ NDF,,,,, NDF, NDF, / DF 6,,,, NDF DF, 5, NDF 5 /, NDF, DF 6, NDF, 2006 3 1 2008 8 8 DF NDF /, :, / DF NDF,,, /,,,,,,,,,, ;, /,,,,,,, /, /,, 1 NDF,,,, / 2009 6 75

: / NDF, DF NDF, 1 NDF, NDF, NDF DF, NDF : (2007 :?, 9 (2008 :, 8 (2007 : NDF,, 10 (2006 : :, 11 (2007 : NDF, 9 Banerjee, A. ; Lum sdaine, R. L. and James, H. S. Recursive and Sequential Tests of the Unit Root and Trend B reak Hypotheses: Theory and International Evidence. Journal of B usiness and Econom ic S tatistics, 1992 (10, pp. 271-287. B rennan, M. J. and Schwartz, E. S. A rbitrage in Stock Index Futures. Journal of B usiness, 1990, 62, pp. 7-31. Chung, Y. 1991, 46, pp. 1791-1809. P. A Transactions Data Test of Stock Index Futures Market Efficiency and Index A rbitrage Profitability. Journal of F inance, Cornell, B. and French, K. R. The Pricing of Stock Index Futures. The Journal of Futures M arkets, 1983 (3, pp. 1-14. Engle, C. Testing for the Absence of Expected Real Profits from Forward Market Speculation. Journal of International Econom ics, 1984, 17, pp. 309-324. 123-192.. The Forward D iscount Anomaly and the R isk Prem ium: a Survey of Recent Evidence. Journal of Em pirical F inance, 1996 (3, pp. Figlewski, S. Exp laining the Early D iscounts on Stock Index Futures: the Case for D isequilibrium. F inancial Analysts Journal, 1984, 40, pp. 43-47. Frankel, J. A. and Froot, K. A. U sing SurveyData to Test Standard Propositions Regarding Exchange Rate Expectations. Am erican Econom ic Review, 1987, 77, pp. 133-153. Klemkosky, R. C. and Lee, J. H. The Intraday Ex post and Ex ante Profitability of Index A rbitrage. Journal of Futures M arkets, 1991 (11, pp. 291-311. L im, K. A rbitrage and Price Behavior of the N ikkei Stock Index Futures. Journal of Futures M arkets, 1992 (12, pp. 151-161. MacDonald, R. Exchange Rate Econom ics: Theories and Evidence. London and New York, Routledge, 2007, pp. 370-395. MacKinlay, A. C. and Ramaswamy, K. Index - FuturesA rbitrage and the Behavior of Stock Index Futures Prices. Review of F inancial S tud2 ies, 1988 (1, pp. 137-158. McCulloch, J. H. Operational A spects of the Siegel Paradox. Q uarterly Journal of Econom ics, 1975, 89, pp. 170-172. Modest, D. M. and Sundaresan, M. The Relationship between Spot and Futures Prices in Stock Index FuturesMarkets: Some Prelim inary Evi2 dence. Journal of Futures M arkets, 1983 (3, pp. 15-41. Perron, P. The Great Crash, the O il Shock and the Unit Root Hypothesis. Econom etrica, 1989, 57, pp. 1361-1402. Roll, R. ; Schwartz, E. and Subrahmanyam, A. L iquidity and the Law of One Price: The Case of the Futures - Cash Basis. The Journal of F inance, 2007, 62, pp. 2201-2234. 603. Sofianos, G. Index A rbitrage Profitability. The Journal of D erivative, 1993 (1, pp. 6-20. Strickland, C. and Xu, X. Behavior of the FTSE 100 Basis. Universidad de W arwick: Financial Op tions Research Center, 1990. Yadav, P. K. and Pope, P. F. Stock Index Futures A rbitrage: International Evidence. Journal of FuturesM arkets, 1990 (10, pp. 573 -. Stock Index FuturesM isp ricing: Profit Opportunities or R isk Prem ia? Journal of B anking and F inance, 1994, 18, pp. 921-953. ( : 2008 12 : 2009 6 76