外文翻譯---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(chǎng)

1、<p>　　本科畢業(yè)論文外文翻譯</p><p>　　外文題目：Transmission of Stock Returns and Volatility Between the U.S. and Japan: Evidence from the Stock Index Futures Markets </p><p>　　出 處： Internati

2、onal Journal of Bank Marketing </p><p>　　作 者： MING-SHIUN PAN and L. PAUL HSUEH </p><p><b>　　原 文</b></p><p>　　Transmission of S

3、tock Returns and Volatility Between the U.S. and Japan: Evidence from the Stock Index Futures Markets</p><p>　　MING-SHIUN PAN and L. PAUL HSUEH</p><p>　　一Abstract. </p><p>　　In this

4、 paper, we examine the nature of transmission of stock returns and volatility between the U.S. and Japanese stock markets using futures prices on the S&P 500 and Nikkei 225 stock indexes. We use stock index futures p

5、rices to mitigate the stale quote problem found in the spot index prices and to obtain more robust results. By employing a two-step GARCH approach, we find that there are unidirectional contemporaneous return and volatil

6、ity spillovers from the U.S. to Japan. Furthermore, the U</p><p>　　二 Introduction</p><p>　　The economies of different countries are unavoidably interwoven through international trade and investm

7、ent. It is therefore common belief that movements of stock prices across countries are correlated. Numerous studies have focused on this cross-border interdependence by examining the nature of international transmission

8、of stock returns and volatility. Errunza and Losq (1985), Eun and Shim (1989), and von Furstenberg and Jeon (1989) investigate the dynamics of international stock price movement</p><p>　　Since the informatio

9、n transmission between markets might be related through not only mean returns but also volatility (Ross, 1989), recent studies (e.g., Hamao, Masulis, and Ng (1990), King andWadhwani (1990), Theodossiou and Lee (1993), Ba

10、e and Karolyi (1994), and Susmel and Engle (1994), among others) have a focus on volatility spillovers for examining information transmission across national boundaries. In general, empirical evidence suggests that volat

11、ility of stock returns is time-varying. </p><p>　　Many studies, however, have also documented a time-varying spillover effect. For instance, Bae and Karolyi (1994) provide results showing weaker volatility s

12、pillover effects between the U.S. and Japan after the October 1987 crash.</p><p>　　Lin, Engle, and Ito (1994) also investigate spillover effects in return and volatility between the New York and Tokyo stock

13、markets. In contrast to previous empirical evidence, they find little support for lagged returns spillovers from New York daytime to Tokyo daytime or vice versa, suggesting that the domestic market adjusts efficiently to

14、 foreign information.</p><p>　　Lin et al. (1994) attribute their findings partly to the fact that previous studies may have suffered from the nonsynchronous trading or stale quote problem at market openings,

15、 which is inherent in stock market indexes. The nonsynchronous trading problem arises when some of the component stocks in a stock index have delay in trading after the market opens. It is well known that nonsynchronous

16、trading in individual securities can induce positive autocorrelation at the index level (Scholes andWill</p><p>　　As a result, their finding suggests that stocks which traded at the open would have already i

17、ncorporated information from overseas markets, and hence the price indexes 30 minutes into the trading likely reflect not only overseas information but also domestic information.</p><p>　　In this study, we p

18、ropose the use of stock index futures prices in examining the nature of transmission of stock returns and volatility between the U.S. and Japanese markets.1 The use of stock index futures prices has several obvious advan

19、tages.</p><p>　　First, since the staleness problem for a stock index is mainly due to the nonsynchronous trading of its component stocks, nonsynchronous trading should be much less of a problem in index futu

20、res. For example, Boudoukh, Richardson, and Whitelaw (1994) document that serial correlations of stock index returns are significantly higher than those of index futures returns. In addition, they find that the autocorre

21、lations for stock index futures returns are insignificantly different from zero, suggesti</p><p>　　Secondly, a number of studies (e.g., Stoll and Whaley, 1990; Chan, 1992; Kawaller, Koch, and Koch, 1993) hav

22、e shown that price discovery takes place in stock index futures prices instead of the underlying spot indexes. Furthermore, Chan (1992) provides evidence showing that stock index futures lead the underlying spot indexes,

23、 and demonstrates that this lead-lag effect is not caused by nonsynchronous trading in the spot index. Thus, the use of stock index futures prices in investigating informat</p><p>　　The rest of the paper is

24、organized as follows. In Section 2, we describe the intradaily stock index futures price data used in this study and present the empirical models. Section 3 reports the empirical findings on return and volatility spillov

25、er effects between the U.S. and Japanese markets. The final section concludes the paper.</p><p>　　三Data and Empirical Design</p><p>　　To examine the transmission of stock returns and volatility

26、between the U.S. and Japanese markets, we use the S&P 500 stock index futures contracts traded at the Chicago Mercantile Exchange (CME) and the Nikkei 225 stock index futures contracts traded at the Osaka Securities

27、Exchange (OSE).2 Daily opening and closing futures prices on the S&P 500 and Nikkei 225 stock indexes for the period of January 3, 1989 through December 30, 1993 are used. The data are obtained from Futures Industry

28、Institut</p><p>　　Both the S&P 500 and Nikkei 225 stock index futures contracts have a cycle of contract maturities of March, June, September, and December. To obtain a long time-series data, only the 3-

29、month data before expiration months are used. Due to different holidays, the data from the two markets are not synchronous, we thus delete the observations when the data are missing for any one of the two markets.3</p

30、><p>　　Figure 1 depicts market trading hours for the two markets. Returns on the stock index futures are calculated as the difference in the logarithmsn of futures prices multiplied by 100. We further divide da

31、ily index futures returns (close-to-close) into daytime returns (open-to-close) and overnight returns (previous close-to-open). Thus, daily close-to-close returns on the S&P 500 (SPt ) and Nikkei 225 (NKt ) on the tw

32、o stock index futures can be expressed as follows:</p><p>　　Rt= RNt + RDt</p><p>　　where (Rt, RNt , RDt ) 2 f(SPt , SPNt , SPDt ), (NKt , NKNt , NKDt )g and the notations are defined as in Figur

33、e 1. It is noticed that the two markets do not have overlapping trading time and also the daytime segment of each market is a subset of overnight segment of the other market. Therefore, it is reasonable to expect that wh

34、at happened during the daytime trading in one market becomes important</p><p>　　‘overnight’ news to the other market.</p><p>　　Table I also shows serial correlations between each market’s daytim

35、e and overnight returns. The insignificant and negative serial correlation between the S&P daytime and overnight returns (?0.049) suggests that the nonsynchronous trading problem is negligible. Also, this negative se

36、rial correlation is likely caused by bid-ask spreads (Stoll and Whaley, 1990). Similar insignificant serial correlation between daytime and overnight returns for the Nikkei 225 index futures is also documented.</p>

37、<p>　　四Conclusions</p><p>　　In this sudy, we examine the nature of transmission of stock returns and volatility Between the U.S. and Japanese markets using futures prices on the S&P500 and Nikkei

38、 225 stock indexes. The use of stock index futures prices mitigates the stale Quote problem in the spot price indexes at the market open and allows us to obtain Cleaner tests and more robust results. </p><p>

39、;　　We employ at wo-step GARCH approach to examine the mean return and volaTility spillovers between the Chicago and Osakamarkets. Ourresults show anUnidirectional contemporaneous return spillover from the U.S . to Japan,

40、 and the U.S.’s in?uence on Japan is about four times as large as the other way around. Furthermore, we ?nd that the volatility in the Chicago market has an impact on the Volatility in the Osaka market . Also, there are

41、signi?cant lagged spillover effects in Both returns and volatil</p><p><b>　　譯 文：</b></p><p>　　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(chǎng)</p><p><b>　　一、引言</b></p>

42、<p>　　本文我們將運(yùn)用S&P500和日經(jīng)225指數(shù)來檢驗(yàn)美國和日本股票市場(chǎng)之間收益和波動(dòng)性的自然傳遞。我們運(yùn)用股指期貨價(jià)格來減輕陳舊報(bào)價(jià)問題并且獲得更多的魯棒結(jié)果。采用兩步出口的方法，我們發(fā)現(xiàn)了從美國到日本市場(chǎng)存在著單向同時(shí)代的回報(bào)和波動(dòng)性效應(yīng)。而且美國的影響在日本回報(bào)約為相反的4倍大。最后我們的結(jié)果表明東京市場(chǎng)到紐約市場(chǎng)上沒有明顯的滯后溢出效應(yīng)在收益和波動(dòng)性方面，但是存在明顯的滯后效應(yīng)從美國到日本的市場(chǎng)上。&

43、lt;/p><p><b>　　二、介紹</b></p><p>　　通過國際貿(mào)易和投資，不同國家的經(jīng)濟(jì)難免相互依賴。人們普遍認(rèn)為各國間股票的價(jià)格變動(dòng)是相互關(guān)聯(lián)的。無數(shù)的研究集中在通過研究國家間相互依賴的性質(zhì)進(jìn)一步研究股票回報(bào)與國際傳播的波動(dòng)性。Errunza 和 Losq(1985),Eun 和Shim(1989),還有 von Furstenberg 和Jeon(19

44、89)探討出了國際股票價(jià)格變動(dòng)的規(guī)律性，并找到了各國間的相互作用。結(jié)果從這些研究表明一個(gè)重要的作用,是美國市場(chǎng)影響其他國家市場(chǎng)。</p><p>　　由于信息在不同市場(chǎng)間的傳播不僅意味著收益，但同時(shí)也存在著波動(dòng)性(羅斯,1989),最近的研究(例如,Hamao,Masulis,Ng(1990年),King and Wadhwani(1990)Theodossiou和李(1993)、林貝芬和伊藤(1994),Sus

45、mel和恩格爾(1994),與其他人一起)有一個(gè)專注于研究信息通過不同國家的波動(dòng)性溢出?？偟膩碚f,實(shí)證研究表明,波動(dòng)的股票的回報(bào)是時(shí)變的。此外,均值和波動(dòng)性溢出是美國市場(chǎng)對(duì)其他國家的股票市場(chǎng)的重要的發(fā)現(xiàn)。然而許多研究也表明存在一個(gè)時(shí)變溢出效應(yīng)。例如林貝芬和伊藤（1994）提供結(jié)果顯示在美國和日本1987年股市崩潰中存在一個(gè)較弱的波動(dòng)性傳導(dǎo)效果。</p><p>　　林、恩格爾,伊藤(1994)研究的是溢出效應(yīng)對(duì)美

46、國和日本股票市場(chǎng)之間收益和波動(dòng)的影響。與以前的實(shí)證研究相反，他們發(fā)現(xiàn)有少量的滯后的收益溢出效應(yīng)存在于美國日間市場(chǎng)與日本日間市場(chǎng)之間，或者相反也一樣。這些暗示著國內(nèi)市場(chǎng)會(huì)對(duì)國外信息作出有效的調(diào)整。</p><p>　　林、恩格爾,伊藤(1994)把他們的一部分研究的原因歸咎于之前的研究可能遭受到公開市場(chǎng)上不同步交易和過時(shí)價(jià)格的影響，這是股票市場(chǎng)指數(shù)中天生存在的問題。不同步交易問題有些時(shí)候會(huì)使股票的部分組件在市場(chǎng)開放

47、后出現(xiàn)股票指數(shù)延遲交易的問題。眾所周知的是不同步交易問題在個(gè)人證劵的股票指數(shù)上會(huì)誘導(dǎo)出積極的自相關(guān)作用(斯克爾斯和威廉姆斯,1977年)。為了減少不同步交易問題的影響，林、恩格爾,伊藤分別利用紐約和東京股市開市后30分鐘和十五分鐘的指數(shù)去研究。雖然運(yùn)用延遲價(jià)格指數(shù)能減輕過時(shí)價(jià)格問題的影響，但是這樣做也很大程度上稀釋了國外市場(chǎng)的傳遞作用。特別是貝克爾、蘇提那、杜卡和恩格爾（1994）表明溢出效應(yīng)會(huì)在交易后一個(gè)小時(shí)內(nèi)迅速的被吸收。最后他們的

48、研究結(jié)果表明公開市場(chǎng)上的交易已經(jīng)包含了國外的信息，因此30分鐘之內(nèi)的股票指數(shù)已經(jīng)反映了國內(nèi)信息和國外信息。</p><p>　　通過這些研究，我們證明了股票指數(shù)期貨價(jià)格能夠用來檢驗(yàn)紐約和東京股票市場(chǎng)收益和波動(dòng)性之間的自然傳遞。運(yùn)用股指期貨價(jià)格有以下幾個(gè)好處。首先，由于股票市場(chǎng)價(jià)格的過時(shí)價(jià)格問題主要產(chǎn)生于組成股票的不同步交易的問題，不同步交易應(yīng)該對(duì)期貨指數(shù)產(chǎn)生較小的問題。例如，懷特洛和理查德森（1994）研究表明一

49、些股票指數(shù)收益比他們的期貨指數(shù)收益有比較高的相關(guān)性。另外他們發(fā)現(xiàn)股指期貨自身的收益與股票價(jià)格指數(shù)收益從一開始便有輕微的不同，這些表明運(yùn)用股指期貨價(jià)格指數(shù)能提供一個(gè)有用的測(cè)試在股票收益和波動(dòng)的傳遞上。</p><p>　　其次，有很多的研究（例如，斯托爾和哈雷，1990；陳，1992；科赫1993）都表明價(jià)格發(fā)現(xiàn)機(jī)制發(fā)生在股指期貨價(jià)格上而不是潛在點(diǎn)指標(biāo)上。陳提供了證據(jù)表明了股指期貨引導(dǎo)著潛在點(diǎn)指標(biāo)，并且演示了在指點(diǎn)

50、指標(biāo)中不同步交易不會(huì)導(dǎo)致機(jī)體效應(yīng)的發(fā)生。因此，股指期貨價(jià)格在國內(nèi)市場(chǎng)信息傳遞中能比較好的捕捉到交易特點(diǎn)。</p><p>　　接下來文章的組織結(jié)構(gòu)如下。在接下來的第二部分，我們將運(yùn)用這些研究來描述股指期貨價(jià)格數(shù)據(jù)的變化并且給出實(shí)證模型。第三部分通過實(shí)證模型展示美國和日本股市之間的收益和波動(dòng)性效應(yīng)。最后一部分給出結(jié)論。</p><p><b>　　三、數(shù)據(jù)和實(shí)證分析</b&g

51、t;</p><p>　　為了檢驗(yàn)美國和日本市場(chǎng)股票收益和波動(dòng)性的傳遞問題，我們采用芝加哥商業(yè)交易所(CME)的標(biāo)準(zhǔn)普爾500股指期貨合同和大阪證券交易所(OSE)的日經(jīng)225股票指數(shù)期貨合同交易。運(yùn)用1989年的3月2日到1992年9月30日的每天標(biāo)準(zhǔn)普爾500和日經(jīng)225指數(shù)的開盤價(jià)和收盤價(jià)。數(shù)據(jù)來源于期貨行業(yè)研究雜志中。</p><p>　　標(biāo)準(zhǔn)普爾500和日經(jīng)225指數(shù)期貨都有3月

52、、6月、9月和12月的循環(huán)期貨合同。去獲取較長時(shí)間的數(shù)據(jù)，在實(shí)證分析只運(yùn)用其中三個(gè)月時(shí)間的數(shù)據(jù)。出去各個(gè)節(jié)假日，倆個(gè)市場(chǎng)之間的數(shù)據(jù)時(shí)不同步的，這樣我們就能很明顯的觀察到其中任意一個(gè)市場(chǎng)上的變化情況。</p><p>　　股指收益率計(jì)算出來在不同的數(shù)值中師不同的，二者之間相差達(dá)100倍。我們進(jìn)一步將得到期貨收益（收盤到收盤）到日間（開盤到收盤）和整個(gè)夜晚的收益（收盤到開盤），這樣標(biāo)準(zhǔn)普爾500（SPt）日經(jīng)225（

53、NKt）這倆個(gè)市場(chǎng)的收益就可以表示為：</p><p>　　Rt=RNt +RDt ;</p><p>　　在這里(Rt ,RNt ,RDt ) 包含(SPt ,SPNt ,SPDt ),(NKt ,NKNt ,NKDt )。要注意的是這倆個(gè)市場(chǎng)之間不存在延遲交易時(shí)間和白天每一個(gè)市場(chǎng)段的一部分是在一夜之間的部分其他市場(chǎng)的子集。顯然白天的信息對(duì)于晚上的部分市場(chǎng)是非常重要的最新新聞。</

54、p><p>　　圖表一表明每個(gè)市場(chǎng)白天和晚上收益的系列關(guān)系。標(biāo)準(zhǔn)普爾白天和晚上收益不明顯的微不足道的關(guān)系（-0.049）表明不同步交易在標(biāo)準(zhǔn)普爾上的影響是微不足道的。通常這微不足道的影響很可能產(chǎn)生傳播發(fā)揮的作用(Stoll and whaley 1990)。相似的白天和晚上之間的系列關(guān)系對(duì)日經(jīng)股指期貨的的影響是相同的。</p><p><b>　　四 結(jié)束語</b>&l

55、t;/p><p>　　通過研究我們分析了美國標(biāo)準(zhǔn)普爾500指數(shù)和日經(jīng)225指數(shù)股指期貨價(jià)格之間的收益和波動(dòng)性自然傳遞問題。運(yùn)用公開市場(chǎng)上的不同步交易問題我們可以進(jìn)行整潔的測(cè)試和獲得更多的魯棒結(jié)果。我們發(fā)現(xiàn)了從美國到日本市場(chǎng)存在著單向同時(shí)代的回報(bào)和波動(dòng)性效應(yīng)。而且美國的影響在日本回報(bào)約為相反的4倍大。最后我們的結(jié)果表明東京市場(chǎng)到紐約市場(chǎng)上沒有明顯的滯后溢出效應(yīng)在收益和波動(dòng)性方面，但是存在明顯的滯后效應(yīng)從美國到日本的市場(chǎng)