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

1、本科畢業(yè)論文外文翻譯論文題目：滬深300指數(shù)與股指期貨關系的實證研究 外文題目：Transmission of Stock Returns and Volatility Between the U.S. and Japan: Evidence from the Stock Index Futures Markets 出 處： International Journal of Bank Marketing 作 者： MING-SHIUN PAN and L. PAUL HSUEH 原 文Transmission of Stock Returns and Volatility Between th

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

3、 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 unidirectional contemporaneous return and volatility spillovers from the U.S. to Japan. Furthermore,

4、 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 from the Osaka market to the Chicago market, while a significant lagged volatility spillover is obse

5、rved 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 stock prices across countries are correlated. Numerous studies have focused on this cross-border inter

6、dependence 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 dynamics of international stock price movements, and find significant cross-country interactions. The re

7、sults 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 only mean returns but also volatility (Ross, 1989), recent studies (e.g., Hamao, Masulis, and Ng (1

8、990), 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 transmission across national boundaries. In general, empirical evidence suggests that volatility of stock retu

9、rns 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, have also documented a time-varying spillover effect. For instance, Bae and Karolyi (1994) provide

10、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 between the New York and Tokyo stock markets. In contrast to previous empirical evidence, they find littl

11、e 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 their findings partly to the fact that previous studies may have suffered from the nonsynchronous t

12、rading 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 trading after the market opens. It is well known that nonsynchronous trading in individual securitie

13、s 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 New York and Tokyo, respectively. Although the use of delayed price indexes might mitigate the stal

14、equote 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 quickly assimilated within the first hour trading.As a result, their finding suggests that stocks whic

15、h 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 domestic information.In this study, we propose the use of stock index futures prices in examining the

16、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 for a stock index is mainly due to the nonsynchronous trading of its component stocks, nonsynchronous

17、 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 than those of index futures returns. In addition, they find that the autocorrelations for stock index f

18、utures 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.Secondly, a number of studies (e.g., Stoll and Whaley, 1990; Chan, 1992; Kawaller, Koch, and Koch, 199

19、3) 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 the underlying spot indexes, and demonstrates that this lead-lag effect is not caused by nonsynchronou

20、s 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.The rest of the paper is organized as follows. In Section 2, we describe the intradaily stock index fu

21、tures 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 final section concludes the paper.三Data and Empirical DesignTo examine the transmission of stock return

22、s 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 contracts traded at the Osaka Securities Exchange (OSE).2 Daily opening and closing futures prices on the S&

23、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 index futures contracts have a cycle of contract maturities of March, June, September, and December. To

24、 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 when the data are missing for any one of the two markets.3Figure 1 depicts market trading hours for

25、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-close) into daytime returns (open-to-close) and overnight returns (previous close-to-open). Thus, daily

26、 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 , NKDt )g and the notations are defined as in Figure 1. It is noticed that the two markets do not ha

27、ve 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 daytime trading in one market becomes importantovernight news to the other market.Table I also shows seria

28、l 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 nonsynchronous trading problem is negligible. Also, this negative serial correlation is likely caused by bid-as

29、k 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 examine the nature of transmission of stock returns and volatility Between the U.S. and Japanese markets

30、 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 obtain Cleaner tests and more robust results. We employ at wo-step GARCH approach to examine the mea

31、n 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 about four times as large as the other way around. Furthermore, we nd that the volatility in the Chica

32、go 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 signicant volatility spillover is observed from the U.S. to Japan. Finally, negative innovations from

33、 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 stronger than those report ed in Lin et al.(1994), in which spot indexes are used. 譯 文：基于美國和日本股票收益的傳播

34、性和波動性來研究股票指數(shù)期貨市場一、引言本文我們將運用S&P500和日經225指數(shù)來檢驗美國和日本股票市場之間收益和波動性的自然傳遞。我們運用股指期貨價格來減輕陳舊報價問題并且獲得更多的魯棒結果。采用兩步出口的方法，我們發(fā)現(xiàn)了從美國到日本市場存在著單向同時代的回報和波動性效應。而且美國的影響在日本回報約為相反的4倍大。最后我們的結果表明東京市場到紐約市場上沒有明顯的滯后溢出效應在收益和波動性方面，但是存在明顯的滯后效應從美國到日本的市場上。二、介紹通過國際貿易和投資，不同國家的經濟難免相互依賴。人們普遍認為各國間股票的價格變動是相互關聯(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進一步研究

35、股票回報與國際傳播的波動性。Errunza 和 Losq(1985),Eun 和Shim(1989),還有 von Furstenberg 和Jeon(1989)探討出了國際股票價格變動的規(guī)律性，并找到了各國間的相互作用。結果從這些研究表明一個重要的作用,是美國市場影響其他國家市場。 由于信息在不同市場間的傳播不僅意味著收益，但同時也存在著波動性(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),Susmel和恩格爾(1994),與其他人一起)有一個

36、專注于研究信息通過不同國家的波動性溢出?？偟膩碚f,實證研究表明,波動的股票的回報是時變的。此外,均值和波動性溢出是美國市場對其他國家的股票市場的重要的發(fā)現(xiàn)。然而許多研究也表明存在一個時變溢出效應。例如林貝芬和伊藤（1994）提供結果顯示在美國和日本1987年股市崩潰中存在一個較弱的波動性傳導效果。 林、恩格爾,伊藤(1994)研究的是溢出效應對美國和日本股票市場之間收益和波動的影響。與以前的實證研究相反，他們發(fā)現(xiàn)有少量的滯后的收益溢出效應存在于美國日間市場與日本日間市場之間，或者相反也一樣。這些暗示著國內市場會對國外信息作出有效的調整。 林、恩格爾,伊藤(1994)把他們的一部分研究的原因歸咎

37、于之前的研究可能遭受到公開市場上不同步交易和過時價格的影響，這是股票市場指數(shù)中天生存在的問題。不同步交易問題有些時候會使股票的部分組件在市場開放后出現(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人證劵的股票指數(shù)上會誘導出積極的自相關作用(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。雖然運用延遲價格指數(shù)能減輕過時價格問題的影響，但是這樣做也很大程度上稀釋了國外市場的傳遞作用。特別是貝克爾、蘇提那、杜卡和恩格爾（1994）表明溢出效應會在交易后一個小時內迅速的被吸收。最后他們的研究結果表明公開市場上的交易已經包含了國外的信息，因此30分鐘之內的股票指數(shù)已經反映了國內信息和國外信息。 通過這些研究，我們證明了股票指數(shù)期貨價格能夠用來檢驗紐約和東京股票市場收益和波動性之間的自然傳遞。運用股指期貨價格有以下幾個好處。首先，由于股票市場價格的過時價格問題主要產生于組成股票的不同步交易的問題，不同步交易應該對期貨指數(shù)產生較小的問題。例如，懷特洛和理查德森（1994）研究表明一些股