股指期货和潜在股票收益的可预见性：以日经225指数为例外文翻译.docVIP

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分析　　　　　　　　　 外文题目：Index Futures and predictability of the underlying stocks return: the case of the Nikkei 225 出 处： Small Business Economics 作 者： Shin hua liu 原 文： Index Futures and Predictability of the Underlying Stocks’ Returns: The Case of the Nikkei 225 Shinhua Liu 一Abstract Theories predict that launching index futures could affect the price informativeness for the underlying stocks. We test this hypothesis by taking advantage of the introduction of the Nikkei 225 futures contracts in Singapore on September 3, 1986. 二Introduction Previous studies regarding index futures have largely focused on the volatility impact on the underlying stock market, as prompted by concerns from regulators about the potential destabilizing effect.1 Few extant studies have examined the liquidity effect in the underlying market. Jegadeesh and Subrahmanyam (1993) and Choi and Subrahmanyam (1994) report higher bid/ask spread for the underlying stocks following the listing of the SP 500 futures in 1982 and the Major Market Index in 1984, respectively. These findings should be related to the price informativeness of the underlying stocks. Indeed, previous studies, such as Gammill and Perold (1989), Subrahmanyam (1991), and Choi and Subrahmanyam (1994), predict that introducing index futures has an ambiguous impact on the price informativeness of the underlying stocks. On the one hand, the listing of index futures could induce uninformed (or liquidity) portfolio traders to migrate to the futures market, where they could reduce their trading losses with informed portfolio traders for lower asymmetry in security-specific information therein. Owing to the emigration of liquidity traders and, thereby, the loss of camouflage, informed traders would have less incentive to gather firm-specific information and trade on it, leading to less firmspecific information being i