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本科毕业论文外文翻译 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. 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 (1990), King andWadhwani (1990), Theodossiou and Lee (1993), Bae and Karolyi (1994), and Susmel and Engle (1994), among others) ha