毕业论文外文翻译-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.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 the U.S. and Japan: Evidence from the Stock Index Futures Markets MING-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 SP 500 and Nikkei 225 stock indexes. 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, 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 observed from the U.S. to Japan. 二 Introduction The 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 interdependence 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 results from these studies also indicate an important role played by the U.S. market in influencing other national markets.