股票指数期货市场外文翻译文献.docx

股票指数期货市场外文翻译文献.docx

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股票指数期货市场外文翻译文献

股票指数期货市场外文翻译文献

（文档含英文原文和中文翻译）

原文:

TransmissionofStockReturnsandVolatilityBetweentheU.S.andJapan:

EvidencefromtheStockIndexFuturesMarkets

MING-SHIUNPANandL.PAULHSUEH

一Abstract.

Inthispaper,weexaminethenatureoftransmissionofstockreturnsandvolatilitybetweentheU.S.andJapanesestockmarketsusingfuturespricesontheS&P500andNikkei225stockindexes.Weusestockindexfuturespricestomitigatethestalequoteproblemfoundinthespotindexpricesandtoobtainmorerobustresults.Byemployingatwo-stepGARCHapproach,wefindthatthereareunidirectionalcontemporaneousreturnandvolatilityspilloversfromtheU.S.toJapan.Furthermore,theU.S.’sinfluenceonJapaninreturnsisapproximatelyfourtimesaslargeastheotherwayaround.Finally,ourresultsshownosignificantlaggedspillovereffectsinbothreturnsandvolatilityfromtheOsakamarkettotheChicagomarket,whileasignificantlaggedvolatilityspilloverisobservedfromtheU.S.toJapan.

二Introduction

Theeconomiesofdifferentcountriesareunavoidablyinterwoventhroughinternationaltradeandinvestment.Itisthereforecommonbeliefthatmovementsofstockpricesacrosscountriesarecorrelated.Numerousstudieshavefocusedonthiscross-borderinterdependencebyexaminingthenatureofinternationaltransmissionofstockreturnsandvolatility.ErrunzaandLosq（1985）,EunandShim（1989）,andvonFurstenbergandJeon（1989）investigatethedynamicsofinternationalstockpricemovements,andfindsignificantcross-countryinteractions.TheresultsfromthesestudiesalsoindicateanimportantroleplayedbytheU.S.marketininfluencingothernationalmarkets.

Sincetheinformationtransmissionbetweenmarketsmightberelatedthroughnotonlymeanreturnsbutalsovolatility（Ross,1989）,recentstudies（e.g.,Hamao,Masulis,andNg（1990）,KingandWadhwani（1990）,TheodossiouandLee（1993）,BaeandKarolyi（1994）,andSusmelandEngle（1994）,amongothers）haveafocusonvolatilityspilloversforexamininginformationtransmissionacrossnationalboundaries.Ingeneral,empiricalevidencesuggeststhatvolatilityofstockreturnsistime-varying.Furthermore,significantmeanandvolatilityspilloversarefound212MING-SHIUNPANANDL.PAULHSUEHfromtheU.S.markettoothernationalstockmarkets.

Manystudies,however,havealsodocumentedatime-varyingspillovereffect.Forinstance,BaeandKarolyi（1994）provideresultsshowingweakervolatilityspillovereffectsbetweentheU.S.andJapanaftertheOctober1987crash.

Lin,Engle,andIto（1994）alsoinvestigatespillovereffectsinreturnandvolatilitybetweentheNewYorkandTokyostockmarkets.Incontrasttopreviousempiricalevidence,theyfindlittlesupportforlaggedreturnsspilloversfromNewYorkdaytimetoTokyodaytimeorviceversa,suggestingthatthedomesticmarketadjustsefficientlytoforeigninformation.

Linetal.（1994）attributetheirfindingspartlytothefactthatpreviousstudiesmayhavesufferedfromthenonsynchronoustradingorstalequoteproblematmarketopenings,whichisinherentinstockmarketindexes.Thenonsynchronoustradingproblemariseswhensomeofthecomponentstocksinastockindexhavedelayintradingafterthemarketopens.Itiswellknownthatnonsynchronoustradinginindividualsecuritiescaninducepositiveautocorrelationattheindexlevel（ScholesandWilliams,1977）.Toattenuatethisproblem,Linetal.（1994）usestockpriceindexes30and15minutesafterthemarketopeninginNewYorkandTokyo,respectively.Althoughtheuseofdelayedpriceindexesmightmitigatethestalequoteproblem,itcouldwelldilutethetransmissioneffectfromoverseasmarkets.Specifically,Becker,Finnerty,andTucker（1992）andSusmelandEngle（1994）documentthatspillovereffectsarequicklyassimilatedwithinthefirsthourtrading.

Asaresult,theirfindingsuggeststhatstockswhichtradedattheopenwouldhavealreadyincorporatedinformationfromoverseasmarkets,andhencethepriceindexes30minutesintothetradinglikelyreflectnotonlyoverseasinformationbutalsodomesticinformation.

Inthisstudy,weproposetheuseofstockindexfuturespricesinexaminingthenatureoftransmissionofstockreturnsandvolatilitybetweentheU.S.andJapanesemarkets.1Theuseofstockindexfuturespriceshasseveralobviousadvantages.

First,sincethestalenessproblemforastockindexismainlyduetothenonsynchronoustradingofitscomponentstocks,nonsynchronoustradingshouldbemuchlessofaprobleminindexfutures.Forexample,Boudoukh,Richardson,andWhitelaw（1994）documentthatserialcorrelationsofstockindexreturnsaresignificantlyhigherthanthoseofindexfuturesreturns.Inaddition,theyfindthattheautocorrelationsforstockindexfuturesreturnsareinsignificantlydifferentfromzero,suggestingthattheuseofstockindexfuturespricescanprovideacleanertestofinternationaltransmissionofstockreturnsandvolatility.

Secondly,anumberofstudies（e.g.,StollandWhaley,1990;Chan,1992;Kawaller,Koch,andKoch,1993）haveshownthatpricediscoverytakesplaceinstockindexfuturespricesinsteadoftheunderlyingspotindexes.Furthermore,Chan（1992）providesevidenceshowingthatstockindexfuturesleadtheunderlyingspotindexes,anddemonstratesthatthislead-lageffectisnotcausedbynonsynchronoustradinginthespotindex.Thus,theuseofstockindexfuturespricesininvestigatinginformationtransmissionbetweennationalmarketsshouldbettercapturethecharacteristicsofinteractions.

Therestofthepaperisorganizedasfollows.InSection2,wedescribetheintradailystockindexfuturespricedatausedinthisstudyandpresenttheempiricalmodels.Section3reportstheempiricalfindingsonreturnandvolatilityspillovereffectsbetweentheU.S.andJapanesemarkets.Thefinalsectionconcludesthepaper.

三DataandEmpiricalDesign

ToexaminethetransmissionofstockreturnsandvolatilitybetweentheU.S.andJapanesemarkets,weusetheS&P500stockindexfuturescontractstradedattheChicagoMercantileExchange（CME）andtheNikkei225stockindexfuturescontractstradedattheOsakaSecuritiesExchange（OSE）.2DailyopeningandclosingfuturespricesontheS&P500andNikkei225stockindexesfortheperiodofJanuary3,1989throughDecember30,1993areused.ThedataareobtainedfromFuturesIndustryInstitute.

BoththeS&P500andNikkei225stockindexfuturescontractshaveacycleofcontractmaturitiesofMarch,June,September,andDecember.Toobtainalongtime-seriesdata,onlythe3-monthdatabeforeexpirationmonthsareused.Duetodifferentholidays,thedatafromthetwomarketsarenotsynchronous,wethusdeletetheobservationswhenthedataaremissingforanyoneofthetwomarkets.3

Figure1depictsmarkettradinghoursforthetwomarkets.Returnsonthestockindexfuturesarecalculatedasthedifferenceinthelogarithmsnoffuturespricesmultipliedby100.Wefurtherdividedailyindexfuturesreturns（close-to-close）intodaytimereturns（open-to-close）andovernightreturns（previousclose-to-open）.Thus,dailyclose-to-closereturnsontheS&P500（SPt）andNikkei225（NKt）onthetwostockindexfuturescanbeexpressedasfollows:

Rt=RNt+RDt

where（Rt,RNt,RDt）2f（SPt,SPNt,SPDt）,（NKt,NKNt,NKDt）gandthenotationsaredefinedasinFigure1.Itisnoticedthatthetwomarketsdonothaveoverlappingtradingtimeandalsothedaytimesegmentofeachmarketisasubsetofovernightsegmentoftheothermarket.Therefore,itisreasonabletoexpectthatwhathappenedduringthedaytimetradinginonemarketbecomesimportant

‘overnight’newstotheothermarket.

TableIalsoshowsserialcorrelationsbetweeneachmarket’sdaytimeandovernightreturns.TheinsignificantandnegativeserialcorrelationbetweentheS&Pdaytimeandovernightreturns（−0.049）suggeststhatthenonsynchronoustradingproblemisnegligible.Also,thisnegativeserialcorrelationislikelycausedbybid-askspreads（StollandWhaley,1990）.SimilarinsignificantserialcorrelationbetweendaytimeandovernightreturnsfortheNikkei225indexfuturesisalsodocumented.

四Conclusions

Inthissudy,weexaminethenatureoftransmissionofstockreturnsandvolatilityBetweentheU.S.andJapanesemarketsusingfuturespricesontheS&P500andNikkei225stockindexes.TheuseofstockindexfuturespricesmitigatesthestaleQuoteprobleminthespotpriceindexesatthemarketopenandallowsustoobtainCleanertestsandmorerobustresults.

Weemployatwo-stepGARCHapproachtoexaminethemeanreturnandvolaTilityspilloversbetweentheChicagoandOsakamarkets.OurresultsshowanUnidirectionalcontemporaneousreturnspilloverfromtheU.S.toJapan,andtheU.S.’sinfluenceonJapanisaboutfourtimesaslargeastheotherwayaround.Furthermore,wefindthatthevolatilityintheChicagomarkethasanimpactontheVolatilityintheOsakamarket.Also,therearesignificantlaggedspillovereffectsinBothreturnsandvolatilityfromtheOsakamarkettotheChicagomarket,whileasignificantvolatilityspilloverisobservedfromtheU.S.toJapan.Finally,negativeinnovationsfromforeignmarketshaveastrongerlaggedspillovereffectthanpositivehocks.Inshort,itappearsthatthespillovereffectsdocumentedinthecurrentstudybasedonthestockindexfuturesdataarestrongerthanthosereportedinLinetal.（1994）,inwhichspotindexesareused.

译文：

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

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