基于美国和日本股票收益的传播性和波动性来研究股票指数期货市场[外文翻译].doc

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1、本科毕业论文外文翻译论文题目：沪深300指数与股指期货关系的实证研究 外文题目：Transmission of Stock Returns and Volatility Between the U.S. and Japan: Evidence from the Stock Index Futures Markets 出 处： 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. 译 文：基于美国和日本股票收益的传播

34、性和波动性来研究股票指数期货市场一、引言本文我们将运用S&P500和日经225指数来检验美国和日本股票市场之间收益和波动性的自然传递。我们运用股指期货价格来减轻陈旧报价问题并且获得更多的鲁棒结果。采用两步出口的方法，我们发现了从美国到日本市场存在着单向同时代的回报和波动性效应。而且美国的影响在日本回报约为相反的4倍大。最后我们的结果表明东京市场到纽约市场上没有明显的滞后溢出效应在收益和波动性方面，但是存在明显的滞后效应从美国到日本的市场上。二、介绍通过国际贸易和投资，不同国家的经济难免相互依赖。人们普遍认为各国间股票的价格变动是相互关联的。无数的研究集中在通过研究国家间相互依赖的性质进一步研究

35、股票回报与国际传播的波动性。Errunza 和 Losq(1985),Eun 和Shim(1989),还有 von Furstenberg 和Jeon(1989)探讨出了国际股票价格变动的规律性，并找到了各国间的相互作用。结果从这些研究表明一个重要的作用,是美国市场影响其他国家市场。 由于信息在不同市场间的传播不仅意味着收益，但同时也存在着波动性(罗斯,1989),最近的研究(例如,Hamao,Masulis,Ng(1990年),King and Wadhwani(1990)Theodossiou和李(1993)、林贝芬和伊藤(1994),Susmel和恩格尔(1994),与其他人一起)有一个

36、专注于研究信息通过不同国家的波动性溢出。总的来说,实证研究表明,波动的股票的回报是时变的。此外,均值和波动性溢出是美国市场对其他国家的股票市场的重要的发现。然而许多研究也表明存在一个时变溢出效应。例如林贝芬和伊藤（1994）提供结果显示在美国和日本1987年股市崩溃中存在一个较弱的波动性传导效果。 林、恩格尔,伊藤(1994)研究的是溢出效应对美国和日本股票市场之间收益和波动的影响。与以前的实证研究相反，他们发现有少量的滞后的收益溢出效应存在于美国日间市场与日本日间市场之间，或者相反也一样。这些暗示着国内市场会对国外信息作出有效的调整。 林、恩格尔,伊藤(1994)把他们的一部分研究的原因归咎

37、于之前的研究可能遭受到公开市场上不同步交易和过时价格的影响，这是股票市场指数中天生存在的问题。不同步交易问题有些时候会使股票的部分组件在市场开放后出现股票指数延迟交易的问题。众所周知的是不同步交易问题在个人证劵的股票指数上会诱导出积极的自相关作用(斯克尔斯和威廉姆斯,1977年)。为了减少不同步交易问题的影响，林、恩格尔,伊藤分别利用纽约和东京股市开市后30分钟和十五分钟的指数去研究。虽然运用延迟价格指数能减轻过时价格问题的影响，但是这样做也很大程度上稀释了国外市场的传递作用。特别是贝克尔、苏提那、杜卡和恩格尔（1994）表明溢出效应会在交易后一个小时内迅速的被吸收。最后他们的研究结果表明公开

38、市场上的交易已经包含了国外的信息，因此30分钟之内的股票指数已经反映了国内信息和国外信息。 通过这些研究，我们证明了股票指数期货价格能够用来检验纽约和东京股票市场收益和波动性之间的自然传递。运用股指期货价格有以下几个好处。首先，由于股票市场价格的过时价格问题主要产生于组成股票的不同步交易的问题，不同步交易应该对期货指数产生较小的问题。例如，怀特洛和理查德森（1994）研究表明一些股票指数收益比他们的期货指数收益有比较高的相关性。另外他们发现股指期货自身的收益与股票价格指数收益从一开始便有轻微的不同，这些表明运用股指期货价格指数能提供一个有用的测试在股票收益和波动的传递上。 其次，有很多的研究（

39、例如，斯托尔和哈雷，1990；陈，1992；科赫1993）都表明价格发现机制发生在股指期货价格上而不是潜在点指标上。陈提供了证据表明了股指期货引导着潜在点指标，并且演示了在指点指标中不同步交易不会导致机体效应的发生。因此，股指期货价格在国内市场信息传递中能比较好的捕捉到交易特点。 接下来文章的组织结构如下。在接下来的第二部分，我们将运用这些研究来描述股指期货价格数据的变化并且给出实证模型。第三部分通过实证模型展示美国和日本股市之间的收益和波动性效应。最后一部分给出结论。三、数据和实证分析 为了检验美国和日本市场股票收益和波动性的传递问题，我们采用芝加哥商业交易所(CME)的标准普尔500股指期

40、货合同和大阪证券交易所(OSE)的日经225股票指数期货合同交易。运用1989年的3月2日到1992年9月30日的每天标准普尔500和日经225指数的开盘价和收盘价。数据来源于期货行业研究杂志中。 标准普尔500和日经225指数期货都有3月、6月、9月和12月的循环期货合同。去获取较长时间的数据，在实证分析只运用其中三个月时间的数据。出去各个节假日，俩个市场之间的数据时不同步的，这样我们就能很明显的观察到其中任意一个市场上的变化情况。 股指收益率计算出来在不同的数值中师不同的，二者之间相差达100倍。我们进一步将得到期货收益（收盘到收盘）到日间（开盘到收盘）和整个夜晚的收益（收盘到开盘），这样

41、标准普尔500（SPt）日经225（NKt）这俩个市场的收益就可以表示为： Rt=RNt +RDt ;在这里(Rt ,RNt ,RDt ) 包含(SPt ,SPNt ,SPDt ),(NKt ,NKNt ,NKDt )。要注意的是这俩个市场之间不存在延迟交易时间和白天每一个市场段的一部分是在一夜之间的部分其他市场的子集。显然白天的信息对于晚上的部分市场是非常重要的最新新闻。图表一表明每个市场白天和晚上收益的系列关系。标准普尔白天和晚上收益不明显的微不足道的关系（-0.049）表明不同步交易在标准普尔上的影响是微不足道的。通常这微不足道的影响很可能产生传播发挥的作用(Stoll and whaley 1990)。相似的白天和晚上之间的系列关系对日经股指期货的的影响是相同的。四 结束语通过研究我们分析了美国标准普尔500指数和日经225指数股指期货价格之间的收益和波动性自然传递问题。运用公开市场上的不同步交易问题我们可以进行整洁的测试和获得更多的鲁棒结果。我们发现了从美国到日本市场存在着单向同时代的回报和波动性效应。而且美国的影响在日本回报约为相反的4倍大。最后我们的结果表明东京市场到纽约市场上没有明显的滞后溢出效应在收益和波动性方面，但是存在明显的滞后效应从美国到日本的市场上。 . .此处忽略！