【正文】 ty 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。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 wostep GARCH approach to examine the mean return and volaTility spillovers between the Chicago and Osakamarkets. Ourresults show anUnidirectional contemporaneous return spillover from the . to Japan, and the .’s in?uence on Japan is about 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 Osa ka market . Also, there are signi?cant lagged spillover effects in Both returns and volatility from the Osaka market to the Chicago market, while a signi?cant volatility spillover is observed from the . 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 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 Samp。無數(shù)的研究集中在通過研究國家間相互依賴的性質(zhì)進(jìn)一步研究股票回報與國際傳播的波動性。 林、恩格爾 ,伊藤 (1994)研究的是溢出效應(yīng)對美國和日本股票市場之間收益和波動的影響。特別是貝克爾、蘇提那、杜卡和恩格爾（ 1994）表明溢出效應(yīng)會在交易后一個小時內(nèi)迅速的被吸收。陳提供了證據(jù)表明了股指期貨引導(dǎo)著潛在點指標(biāo)，并且演示了在指點指標(biāo)中不同步交易不會導(dǎo)致機(jī)體效應(yīng)的發(fā)生。數(shù)據(jù)來源于期貨行業(yè)研究雜志中。顯然白天的信息對于晚上的部分市場是非常重要的最新新聞。而且美國的影響在日本回報約為相反的 4倍大。相似的白天和晚上之間的系列關(guān)系對日經(jīng)股指期貨的的影響是相同的。 股指收益率計算出來在不同的數(shù)值中師不同的，二者之間相差達(dá) 100 倍。第三部分通過實證模型展示美國和日本股市之間的收益和波動性效應(yīng)。首先，由于股票市場價格的過時價格問題主要產(chǎn)生于組成股票的不同步交易的問題，不同步交易應(yīng)該對期貨指數(shù)產(chǎn)生較小的問題。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?？偟膩碚f ,實證研究表明 ,波動的股票的回報是時變的。而且美國的影響在日本回報約為相反的 4倍大。P 500 and Nikkei 225 stock indexes for the