基于美國和日本股票收益的傳播性和波動(dòng)性來研究股票指數(shù)期貨市場[外文翻譯]

1、本科畢業(yè)論文外文翻譯本科畢業(yè)論文外文翻譯論文題目：論文題目：滬深滬深300300指數(shù)與股指期貨關(guān)系的實(shí)證研究指數(shù)與股指期貨關(guān)系的實(shí)證研究外文題目：外文題目：TransmissionofStockReturnsVolatilityBetweentheU.S.Japan:EvidencefromtheStockIndexFuturesMarkets出處：處：InternationalJournalofBankMarketing作者：者：MI

2、NGSHIUNPANL.PAULHSUEH原文TransmissionofStockReturnsVolatilityBetweentheU.S.Japan:EvidencefromtheStockIndexFuturesMarketsMINGSHIUNPANL.PAULHSUEH一Abstract.Inthispaperweexaminethenatureoftransmissionofstockreturnsvolatilitybe

3、tweentheU.S.JapanesestockmarketsusingfuturespricesontheS&P500Nikkei225stockindexes.Weusestockindexfuturespricestomitigatethestalequoteproblemfoundinthespotindexpricestoobtainmerobustresults.ByemployingatwostepGARCHapproa

4、chwefindthatthereareunidirectionalcontempaneousreturnvolatilityspilloversfromtheU.S.toJapan.FurthermetheU.S.’sinfluenceonJapaninreturnsisapproximatelyfourtimesaslargeastheotherwayaround.Finallyourresultsshownosignificant

5、laggedspillovereffectsinbothreturnsvolatilityfromtheOsakamarkettotheChicagomarketwhileasignificantlaggedvolatilityspilloverisobservedfromtheU.S.toJapan.二IntroductionTheeconomiesofdifferentcountriesareunavoidablyinterwove

6、nthroughinternationaltradeinvestment.Itistherefecommonbeliefthatmovementsofstockpricesacrosscountriesarecrelated.Numerousstudieshavefocusedonthiscrossbderinterdependencebyexaminingthenatureofinternationaltransmissionofst

7、ockreturnsvolatility.ErrunzaLosq(1985)EunShim(1989)vonFurstenbergJeon(1989)investigatethedynamicsofinternationalstockpricemovementsfindsignificantcrosscountryinteractions.Theresultsfromthesestudiesalsoindicateanimptantro

8、leplayedbytheU.S.marketininfluencingothernationalmarkets.Sincetheinfmationtransmissionbetweenmarketsmightberelatedthroughnotonlymeanreturnsbutalsovolatility(Ross1989)recentstudies(e.g.HamaoMasulisNg(1990)KingWadhwani(199

9、0)TheodossiouLee(1993)providesevidenceshowingthatstockindexfuturesleadtheunderlyingspotindexesdemonstratesthatthisleadlageffectisnotcausedbynonsynchronoustradinginthespotindex.Thustheuseofstockindexfuturespricesininvesti

10、gatinginfmationtransmissionbetweennationalmarketsshouldbettercapturetheacteristicsofinteractions.Therestofthepaperisganizedasfollows.InSection2wedescribetheintradailystockindexfuturespricedatausedinthisstudypresenttheemp

11、iricalmodels.Section3reptstheempiricalfindingsonreturnvolatilityspillovereffectsbetweentheU.S.Japanesemarkets.Thefinalsectionconcludesthepaper.三DataEmpiricalDesignToexaminethetransmissionofstockreturnsvolatilitybetweenth

12、eU.S.JapanesemarketsweusetheS&P500stockindexfuturescontractstradedattheChicagoMercantileExchange(CME)theNikkei225stockindexfuturescontractstradedattheOsakaSecuritiesExchange(OSE).2DailyopeningclosingfuturespricesontheS&P

13、500Nikkei225stockindexesftheperiodofJanuary31989throughDecember301993areused.ThedataareobtainedfromFuturesIndustryInstitute.BoththeS&P500Nikkei225stockindexfuturescontractshaveacycleofcontractmaturitiesofMarchJuneSeptemb

14、erDecember.Toobtainalongtimeseriesdataonlythe3monthdatabefeexpirationmonthsareused.Duetodifferentholidaysthedatafromthetwomarketsarenotsynchronouswethustheobservationswhenthedataaremissingfanyoneofthetwomarkets.3Figure1d

15、epictsmarkettradinghoursfthetwomarkets.Returnsonthestockindexfuturesarecalculatedasthedifferenceinthelogarithmsnoffuturespricesmultipliedby100.Wefurtherdividedailyindexfuturesreturns(closetoclose)intodaytimereturns(opent

16、oclose)overnightreturns(previousclosetoopen).ThusdailyclosetoclosereturnsontheS&P500(SPt)Nikkei225(NKt)onthetwostockindexfuturescanbeexpressedasfollows:Rt=RNtRDtwhere(RtRNtRDt)2f(SPtSPNtSPDt)(NKtNKNtNKDt)gthenotationsare

17、definedasinFigure1.Itisnoticedthatthetwomarketsdonothaveoverlappingtradingtimealsothedaytimesegmentofeachmarketisasubsetofovernightsegmentoftheothermarket.Therefeitisreasonabletoexpectthatwhathappenedduringthedaytimetrad