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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期貨市場(編輯修改稿)

2026-06-26 10:06 本頁面

　

【文章內容簡介】 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。 Kawaller, Koch, and Koch, 1993) 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 leadlag effect is not caused by nonsynchronous 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 futures 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 . and Japanese markets. The final section concludes the paper. 三 Data and Empirical Design To examine the transmission of stock returns and volatility between the . and Japanese markets, we use the Samp。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 Samp。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 Samp。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。P 500 (SPt ) and Nikkei 225 (NKt ) on the two stock index futures can be expressed as follows: Rt= RNt + RDt where (Rt, RNt , RDt ) 2 f(SPt , SPNt , SPDt ),

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