外文翻譯---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(已修改)
2025-06-01 10:06 本頁面
【正文】 本科畢業(yè)論文外文翻譯 外文題目： Transmission of Stock Returns and Volatility Between the . and Japan: Evidence from the Stock Index Futures Markets 出 處： International Journal of Bank Marketing 作 者： MINGSHIUN PAN and L. PAUL HSUEH 原 文 Transmission of Stock Returns and Volatility Between the . and Japan: Evidence from the Stock Index Futures Markets MINGSHIUN PAN and L. PAUL HSUEH 一 Abstract. In this paper, we examine the nature of transmission of stock returns and volatility between the . and Japanese stock markets using futures prices on the Samp。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 twostep GARCH approach, we find that there are unidirectional contemporaneous return and volatility spillovers from the . to Japan. Furthermore, the .’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 observed from the . to Japan. 二 Introduction The economies of different countries are unavoidably interwoven through international trade and investment. It is therefore mon belief that movements of stock prices across countries are correlated. Numerous studies have focused on this crossborder 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 dynamics of international stock price movements, and find significant crosscountry interactions. The results from these studies also indicate an important role played by the . 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 (., 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 transmission across national boundaries. In general, empirical evidence suggests that volatility of stock returns is timevarying. Furthermore, significant mean and volatility spillovers are found 212 MINGSHIUN PAN AND L. PAUL HSUEH from the .
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