外文翻譯---基于美國(guó)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)-wenkub
2023-05-19 10:06:20 本頁(yè)面
【正文】 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 . market to other national stock markets. Many studies, however, have also documented a timevarying spillover effect. For instance, Bae and Karolyi (1994) provide results showing weaker volatility spillover effects between the . 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 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 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 ponent stocks in a stock index have delay in 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 New Yo
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