股票指数期货市场外文翻译文献.docx
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股票指数期货市场外文翻译文献
股票指数期货市场外文翻译文献
(文档含英文原文和中文翻译)
原文:
TransmissionofStockReturnsandVolatilityBetweentheU.S.andJapan:
EvidencefromtheStockIndexFuturesMarkets
MING-SHIUNPANandL.PAULHSUEH
一Abstract.
Inthispaper,weexaminethenatureoftransmissionofstockreturnsandvolatilitybetweentheU.S.andJapanesestockmarketsusingfuturespricesontheS&P500andNikkei225stockindexes.Weusestockindexfuturespricestomitigatethestalequoteproblemfoundinthespotindexpricesandtoobtainmorerobustresults.Byemployingatwo-stepGARCHapproach,wefindthatthereareunidirectionalcontemporaneousreturnandvolatilityspilloversfromtheU.S.toJapan.Furthermore,theU.S.’sinfluenceonJapaninreturnsisapproximatelyfourtimesaslargeastheotherwayaround.Finally,ourresultsshownosignificantlaggedspillovereffectsinbothreturnsandvolatilityfromtheOsakamarkettotheChicagomarket,whileasignificantlaggedvolatilityspilloverisobservedfromtheU.S.toJapan.
二Introduction
Theeconomiesofdifferentcountriesareunavoidablyinterwoventhroughinternationaltradeandinvestment.Itisthereforecommonbeliefthatmovementsofstockpricesacrosscountriesarecorrelated.Numerousstudieshavefocusedonthiscross-borderinterdependencebyexaminingthenatureofinternationaltransmissionofstockreturnsandvolatility.ErrunzaandLosq(1985),EunandShim(1989),andvonFurstenbergandJeon(1989)investigatethedynamicsofinternationalstockpricemovements,andfindsignificantcross-countryinteractions.TheresultsfromthesestudiesalsoindicateanimportantroleplayedbytheU.S.marketininfluencingothernationalmarkets.
Sincetheinformationtransmissionbetweenmarketsmightberelatedthroughnotonlymeanreturnsbutalsovolatility(Ross,1989),recentstudies(e.g.,Hamao,Masulis,andNg(1990),KingandWadhwani(1990),TheodossiouandLee(1993),BaeandKarolyi(1994),andSusmelandEngle(1994),amongothers)haveafocusonvolatilityspilloversforexamininginformationtransmissionacrossnationalboundaries.Ingeneral,empiricalevidencesuggeststhatvolatilityofstockreturnsistime-varying.Furthermore,significantmeanandvolatilityspilloversarefound212MING-SHIUNPANANDL.PAULHSUEHfromtheU.S.markettoothernationalstockmarkets.
Manystudies,however,havealsodocumentedatime-varyingspillovereffect.Forinstance,BaeandKarolyi(1994)provideresultsshowingweakervolatilityspillovereffectsbetweentheU.S.andJapanaftertheOctober1987crash.
Lin,Engle,andIto(1994)alsoinvestigatespillovereffectsinreturnandvolatilitybetweentheNewYorkandTokyostockmarkets.Incontrasttopreviousempiricalevidence,theyfindlittlesupportforlaggedreturnsspilloversfromNewYorkdaytimetoTokyodaytimeorviceversa,suggestingthatthedomesticmarketadjustsefficientlytoforeigninformation.
Linetal.(1994)attributetheirfindingspartlytothefactthatpreviousstudiesmayhavesufferedfromthenonsynchronoustradingorstalequoteproblematmarketopenings,whichisinherentinstockmarketindexes.Thenonsynchronoustradingproblemariseswhensomeofthecomponentstocksinastockindexhavedelayintradingafterthemarketopens.Itiswellknownthatnonsynchronoustradinginindividualsecuritiescaninducepositiveautocorrelationattheindexlevel(ScholesandWilliams,1977).Toattenuatethisproblem,Linetal.(1994)usestockpriceindexes30and15minutesafterthemarketopeninginNewYorkandTokyo,respectively.Althoughtheuseofdelayedpriceindexesmightmitigatethestalequoteproblem,itcouldwelldilutethetransmissioneffectfromoverseasmarkets.Specifically,Becker,Finnerty,andTucker(1992)andSusmelandEngle(1994)documentthatspillovereffectsarequicklyassimilatedwithinthefirsthourtrading.
Asaresult,theirfindingsuggeststhatstockswhichtradedattheopenwouldhavealreadyincorporatedinformationfromoverseasmarkets,andhencethepriceindexes30minutesintothetradinglikelyreflectnotonlyoverseasinformationbutalsodomesticinformation.
Inthisstudy,weproposetheuseofstockindexfuturespricesinexaminingthenatureoftransmissionofstockreturnsandvolatilitybetweentheU.S.andJapanesemarkets.1Theuseofstockindexfuturespriceshasseveralobviousadvantages.
First,sincethestalenessproblemforastockindexismainlyduetothenonsynchronoustradingofitscomponentstocks,nonsynchronoustradingshouldbemuchlessofaprobleminindexfutures.Forexample,Boudoukh,Richardson,andWhitelaw(1994)documentthatserialcorrelationsofstockindexreturnsaresignificantlyhigherthanthoseofindexfuturesreturns.Inaddition,theyfindthattheautocorrelationsforstockindexfuturesreturnsareinsignificantlydifferentfromzero,suggestingthattheuseofstockindexfuturespricescanprovideacleanertestofinternationaltransmissionofstockreturnsandvolatility.
Secondly,anumberofstudies(e.g.,StollandWhaley,1990;Chan,1992;Kawaller,Koch,andKoch,1993)haveshownthatpricediscoverytakesplaceinstockindexfuturespricesinsteadoftheunderlyingspotindexes.Furthermore,Chan(1992)providesevidenceshowingthatstockindexfuturesleadtheunderlyingspotindexes,anddemonstratesthatthislead-lageffectisnotcausedbynonsynchronoustradinginthespotindex.Thus,theuseofstockindexfuturespricesininvestigatinginformationtransmissionbetweennationalmarketsshouldbettercapturethecharacteristicsofinteractions.
Therestofthepaperisorganizedasfollows.InSection2,wedescribetheintradailystockindexfuturespricedatausedinthisstudyandpresenttheempiricalmodels.Section3reportstheempiricalfindingsonreturnandvolatilityspillovereffectsbetweentheU.S.andJapanesemarkets.Thefinalsectionconcludesthepaper.
三DataandEmpiricalDesign
ToexaminethetransmissionofstockreturnsandvolatilitybetweentheU.S.andJapanesemarkets,weusetheS&P500stockindexfuturescontractstradedattheChicagoMercantileExchange(CME)andtheNikkei225stockindexfuturescontractstradedattheOsakaSecuritiesExchange(OSE).2DailyopeningandclosingfuturespricesontheS&P500andNikkei225stockindexesfortheperiodofJanuary3,1989throughDecember30,1993areused.ThedataareobtainedfromFuturesIndustryInstitute.
BoththeS&P500andNikkei225stockindexfuturescontractshaveacycleofcontractmaturitiesofMarch,June,September,andDecember.Toobtainalongtime-seriesdata,onlythe3-monthdatabeforeexpirationmonthsareused.Duetodifferentholidays,thedatafromthetwomarketsarenotsynchronous,wethusdeletetheobservationswhenthedataaremissingforanyoneofthetwomarkets.3
Figure1depictsmarkettradinghoursforthetwomarkets.Returnsonthestockindexfuturesarecalculatedasthedifferenceinthelogarithmsnoffuturespricesmultipliedby100.Wefurtherdividedailyindexfuturesreturns(close-to-close)intodaytimereturns(open-to-close)andovernightreturns(previousclose-to-open).Thus,dailyclose-to-closereturnsontheS&P500(SPt)andNikkei225(NKt)onthetwostockindexfuturescanbeexpressedasfollows:
Rt=RNt+RDt
where(Rt,RNt,RDt)2f(SPt,SPNt,SPDt),(NKt,NKNt,NKDt)gandthenotationsaredefinedasinFigure1.Itisnoticedthatthetwomarketsdonothaveoverlappingtradingtimeandalsothedaytimesegmentofeachmarketisasubsetofovernightsegmentoftheothermarket.Therefore,itisreasonabletoexpectthatwhathappenedduringthedaytimetradinginonemarketbecomesimportant
‘overnight’newstotheothermarket.
TableIalsoshowsserialcorrelationsbetweeneachmarket’sdaytimeandovernightreturns.TheinsignificantandnegativeserialcorrelationbetweentheS&Pdaytimeandovernightreturns(−0.049)suggeststhatthenonsynchronoustradingproblemisnegligible.Also,thisnegativeserialcorrelationislikelycausedbybid-askspreads(StollandWhaley,1990).SimilarinsignificantserialcorrelationbetweendaytimeandovernightreturnsfortheNikkei225indexfuturesisalsodocumented.
四Conclusions
Inthissudy,weexaminethenatureoftransmissionofstockreturnsandvolatilityBetweentheU.S.andJapanesemarketsusingfuturespricesontheS&P500andNikkei225stockindexes.TheuseofstockindexfuturespricesmitigatesthestaleQuoteprobleminthespotpriceindexesatthemarketopenandallowsustoobtainCleanertestsandmorerobustresults.
Weemployatwo-stepGARCHapproachtoexaminethemeanreturnandvolaTilityspilloversbetweentheChicagoandOsakamarkets.OurresultsshowanUnidirectionalcontemporaneousreturnspilloverfromtheU.S.toJapan,andtheU.S.’sinfluenceonJapanisaboutfourtimesaslargeastheotherwayaround.Furthermore,wefindthatthevolatilityintheChicagomarkethasanimpactontheVolatilityintheOsakamarket.Also,therearesignificantlaggedspillovereffectsinBothreturnsandvolatilityfromtheOsakamarkettotheChicagomarket,whileasignificantvolatilityspilloverisobservedfromtheU.S.toJapan.Finally,negativeinnovationsfromforeignmarketshaveastrongerlaggedspillovereffectthanpositivehocks.Inshort,itappearsthatthespillovereffectsdocumentedinthecurrentstudybasedonthestockindexfuturesdataarestrongerthanthosereportedinLinetal.(1994),inwhichspotindexesareused.
译文:
基于美国和日本股票收益的传播性和波动性来研究股票指数期货市场
一、引言
本文我们将运用S&P500和日经225指数来检验美国和日本股票市场之间收益和波动性的自然传递。
我们运用股指期货价格来减轻陈旧报价问题并且获得更多的鲁棒结果。
采用两步出口的方法,我们发现了从美国到日本市场存在着单向同时代的回报和波动性效应。
而且美国的影响在日本回报约为相反的4倍大。
最后我们的结果表明东京市场到纽约市场上没有明显的滞后溢出效应在收益和波动性方面,但是存在明显的滞后效应从