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(文件)
【正文】 rk 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 quickly 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 domestic 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 . and Japanese 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 ponent 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 than 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. Secondly, a number of studies (., Stoll and Whaley, 1990。 Chan, 1992。P 500 and Nikkei 225 stock index futures contracts have a cycle of contract maturities of March, June, September, and December. To obtain a long timeseries data, only the 3month 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 Figure 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 (closetoclose) into daytime returns (opentoclose) and overnight returns (previous closetoopen). Thus, daily closetoclose returns on the Samp。P500和日經(jīng) 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。最后我們的結(jié)果表明東京市場到紐約市場上沒有明顯的滯后溢出效應(yīng)在收益和波動性方面，但是存在明顯的滯后效應(yīng)從美國到日本的市場上。 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。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)。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
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