股票指数期货市场外文翻译文献.docx

1、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:Transmission of Stock Returns and Volatility Between the U.S. and Japan: Evidence from the Stock Index Futures MarketsMING-SHIUN PAN and L. PAUL HSUEH一Abstract. In this paper, we examine the nature of transmission of stock returns and volatility between t

2、he U.S. and Japanese stock markets using futures prices on the S&P 500 and Nikkei 225 stock indexes. We use stock index futures prices 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

3、unidirectional contemporaneous return and volatility spillovers from the U.S. to Japan. Furthermore, the U.S.s influence on Japan in returns is approximately four times as large as the other way around. Finally, our results show no significant lagged spillover effects in both returns and volatility

4、from the Osaka market to the Chicago market, while a significant lagged volatility spillover is observed from the U.S. to Japan.二 IntroductionThe economies of different countries are unavoidably interwoven through international trade and investment. It is therefore common belief that movements of st

5、ock prices across countries are correlated. Numerous studies have focused on this cross-border interdependence by examining the nature of international transmission of stock returns and volatility. Errunza and Losq (1985), Eun and Shim (1989), and von Furstenberg and Jeon (1989) investigate the dyna

6、mics of international stock price movements, and find significant cross-country interactions. The results from these studies also indicate an important role played by the U.S. market in influencing other national markets.Since the information transmission between markets might be related through not

7、 only mean returns but also volatility (Ross, 1989), recent studies (e.g., Hamao, Masulis, and Ng (1990), King andWadhwani (1990), Theodossiou and Lee (1993), Bae and Karolyi (1994), and Susmel and Engle (1994), among others) have a focus on volatility spillovers for examining information transmissi

8、on across national boundaries. In general, empirical evidence suggests that volatility of stock returns is time-varying. Furthermore, significant mean and volatility spillovers are found 212 MING-SHIUN PAN AND L. PAUL HSUEH from the U.S. market to other national stock markets. Many studies, however,

9、 have also documented a time-varying spillover effect. For instance, Bae and Karolyi (1994) provide results showing weaker volatility spillover effects between the U.S. and Japan after the October 1987 crash.Lin, Engle, and Ito (1994) also investigate spillover effects in return and volatility betwe

10、en the New York and Tokyo stock 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 foreign information.Lin et al. (1994) attribute

11、 their findings partly to the fact that previous studies may have suffered from the nonsynchronous trading or stale quote problem at market openings, 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

12、trading after the market opens. It is well known that nonsynchronous trading in individual securities can induce positive autocorrelation at the index level (Scholes andWilliams, 1977). To attenuate this problem, Lin et al. (1994) use stock price indexes 30 and 15 minutes after the market opening in

13、 New York and Tokyo, respectively. Although the use of delayed price indexes might mitigate the stalequote problem, it could well dilute the transmission effect from overseas markets. Specifically, Becker, Finnerty, and Tucker (1992) and Susmel and Engle (1994) document that spillover effects are qu

14、ickly assimilated within the first hour trading.As a result, their finding suggests that stocks which traded at the open would have already incorporated information from overseas markets, and hence the price indexes 30 minutes into the trading likely reflect not only overseas information but also do

15、mestic information.In this study, we propose 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 advantages.First, since the staleness problem f

16、or 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 futures. For example, Boudoukh, Richardson, and Whitelaw (1994) document that serial correlations of stock index returns are significantly higher tha

17、n those of index futures returns. In addition, they find that the autocorrelations for stock index futures returns are insignificantly different from zero, suggesting that the use of stock index futures prices can provide acleaner test of international transmission of stock returns and volatility.Se

18、condly, a number of studies (e.g., Stoll and Whaley, 1990; Chan, 1992; Kawaller, Koch, and Koch, 1993) have 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 th

19、e underlying spot indexes, 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 information transmission between national markets should better capture the characteristics of interactions.Th

20、e rest of the paper is 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 spillover effects between the U.S. and Japanese markets. The fin

21、al section concludes the paper.三Data and Empirical DesignTo examine the transmission of stock returns and volatility 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 contract

22、s traded at the Osaka Securities 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 Institute.Both the S&P 500 and Nikkei 225 stock ind

23、ex futures contracts have a cycle of contract maturities of March, June, September, and December. To obtain a long time-series data, only the 3-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

24、when the data are missing for any one of the two markets.3Figure 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 daily index futures returns (close-to-clo

25、se) 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 two stock index futures can be expressed as follows:Rt= RNt + RDtwhere (Rt, RNt , RDt ) 2 f(SPt , SPNt , SPDt ), (NKt , NKNt

26、, NKDt )g and the notations are defined as in Figure 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 what happened during the daytim

27、e trading in one market becomes importantovernight news to the other market.Table I also shows serial correlations between each markets daytime and overnight returns. The insignificant and negative serial correlation between the S&P daytime and overnight returns (0.049) suggests that the nonsynchron

28、ous trading problem is negligible. Also, this negative serial 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.四ConclusionsIn this sudy, we exam

29、ine 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 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

30、obtain Cleaner tests and more robust results. 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, and the U.S.s inuence on Japan is ab

31、out 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 signicant lagged spillover effects in Both returns and volatility from the Osaka market to the Chicago market, while a s

32、ignicant volatility spillover is observed from the U.S. to Japan. Finally, negative innovations from foreign market shavea stronger lagged spillover effect than positive hocks .In short, it appears that the spillover effects documented in the current study based on the stock index futures data are s

33、tronger than those report ed in Lin et al.(1994), in which spot indexes are used. 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