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1、本科毕业论文外文翻译TransmissionofStockReturnsandVolatilityBetweentheU.S.andJapan:EvidencefromtheStockIndexFuturesMarketsMING-SHIUNPANandL.PAULHSUEH一Abstract.Inthispaper,weexaminethenatureoftransmissionofstockreturnsandvolatilitybetweentheU.S.andJapanesestockmarke
2、tsusingfuturespricesontheS&P500andNikkei225stockindexes.Weusestockindexfuturespricestomitigatethestalequoteproblemfoundinthespotindexpricesandtoobtainmorerobustresults.Byemployingatwo-stepGARCHapproach,wefindthatthereareunidirectionalcontemporaneousretur
3、nandvolatilityspilloversfromtheU.S.toJapan.Furthermore,theU.S.’sinfluenceonJapaninreturnsisapproximatelyfourtimesaslargeastheotherwayaround.Finally,ourresultsshownosignificantlaggedspillovereffectsinbothreturnsandvolatilityfromtheOsakamarkettotheChicagom
4、arket,whileasignificantlaggedvolatilityspilloverisobservedfromtheU.S.toJapan.二IntroductionTheeconomiesofdifferentcountriesareunavoidablyinterwoventhroughinternationaltradeandinvestment.Itisthereforecommonbeliefthatmovementsofstockpricesacrosscountriesare
5、correlated.Numerousstudieshavefocusedonthiscross-borderinterdependencebyexaminingthenatureofinternationaltransmissionofstockreturnsandvolatility.ErrunzaandLosq(1985),EunandShim(1989),andvonFurstenbergandJeon(1989)investigatethedynamicsofinternationalstoc
6、kpricemovements,andfindsignificantcross-countryinteractions.TheresultsfromthesestudiesalsoindicateanimportantroleplayedbytheU.S.marketininfluencingothernationalmarkets.Sincetheinformationtransmissionbetweenmarketsmightberelatedthroughnotonlymeanreturnsbu
7、talsovolatility(Ross,1989),recentstudies(e.g.,Hamao,Masulis,andNg(1990),KingandWadhwani(1990),TheodossiouandLee(1993),BaeandKarolyi(1994),andSusmelandEngle(1994),amongothers)haveafocusonvolatilityspilloversforexamininginformationtransmissionacrossnationa
8、lboundaries.Ingeneral,empiricalevidencesuggeststhatvolatilityofstockreturnsistime-varying.Furthermore,significantmeanandvolatilityspilloversarefound212MING-SHIUNPANANDL.PAULHSUEHfromtheU.S.markettoothernationalstockmarkets
