股指期貨和潛在股票收益的可預(yù)見性以日經(jīng)225指數(shù)為例[外文翻譯]

1、本科畢業(yè)論文外文翻譯本科畢業(yè)論文外文翻譯論文題目：論文題目：滬深滬深300300指數(shù)與股指期貨關(guān)系的實(shí)證分析指數(shù)與股指期貨關(guān)系的實(shí)證分析外文題目：外文題目：IndexFuturespredictabilityoftheunderlyingstocksreturn:thecaseoftheNikkei225出處：處：SmallBusinessEconomics作者：者：Shinhualiu原文：文：IndexFuturesPredicta

2、bilityoftheUnderlyingStocks’Returns:TheCaseoftheNikkei225ShinhuaLiu一AbstractTheiespredictthatlaunchingindexfuturescouldaffectthepriceinfmativenessftheunderlyingstocks.Wetestthishypothesisbytakingadvantageoftheintroductio

3、noftheNikkei225futurescontractsinSingapeonSeptember31986.二IntroductionPreviousstudiesregardingindexfutureshavelargelyfocusedonthevolatilityimpactontheunderlyingstockmarketaspromptedbyconcernsfromregulatsaboutthepotential

4、destabilizingeffect.1Fewextantstudieshaveexaminedtheliquidityeffectintheunderlyingmarket.JegadeeshSubrahmanyam(1993)ChoiSubrahmanyam(1994)repthigherbidaskspreadftheunderlyingstocksfollowingthelistingoftheS&P500futuresin1

5、982theMajMarketIndexin1984respectively.Thesefindingsshouldberelatedtothepriceinfmativenessoftheunderlyingstocks.IndeedpreviousstudiessuchasGammillPerold(1989)Subrahmanyam(1991)ChoiSubrahmanyam(1994)predictthatintroducing

6、indexfutureshasanambiguousimpactonthepriceinfmativenessoftheunderlyingstocks.Ontheonehthelistingofindexfuturescouldinduceuninfmed(liquidity)ptfoliotraderstomigratetothefuturesmarketwheretheycouldreducetheirtradinglossesw

7、ithinfmedptfoliotradersflowerasymmetryinsecurityspecificinfmationtherein.OwingtotheemigrationofliquiditytraderstherebythelossofcamouflageinfmedtraderswouldhavelessincentivetogatherfirminturndwarfthoseontheCMEintradingvol

8、ume.ThirdtheOSEemploysacomputerassistedderdriventradingsystemoutdesignatedmarketmakerswhiletheSIMEXCMEutilizeanauctionssystemalargenumberofmarketmakers.Finallythesecontractsdifferinsizesettlementdenominationcurrency.6The

9、adventoftheNikkei225futurescouldaffectinfmationalefficiencyinthespotmarket.AsdetailedinTakeuchi(1990)thecomponentstocksoftheNikkei225areheavilyboughtinproptionbyindexlinkedinvestmenttruststheequivalentofunittrustsintheU.

10、K.mutualfundsintheU.S.OwingtothespilloveroftheincreasedtradingonmarketwideinfmationbythesepossiblyotherinstitutionalinvestsasdiscussedintheintroductionofthisarticlethelaunchingoftheNikkei225futuresshouldleadtohigherinfma

11、tionalefficiencyinthespotmarket.Ofcoursethepotentialemigrationofuninfmedptfoliotraderscouldresultinlowerpriceinfmativenessintheunderlyingmarkethencemaketheoverallefficiencyimpactanempiricalissue.四DatamethodsThissectionde

12、scribesthedataincludingtheconstructionofthetreatmentcontrolsamplestheirsummarystatisticsinthesampleperioddiscussestwoalternativestatisticalmethodsemployedincludingthenonparametricrunstesttheparametricfirstderautocrelatio

13、ntestreptstheempiricalresultsobtained.UsingbothmethodswediscoverthatthespotmarketefficiencyincreasesaroundtheSIMEXintroductionofthefuturescontracts.Supptingthepositiveefficiencyeffectwealsofindincreasedtradingvolumeftheu

14、nderlyingstocksfollowingtheevent.WeusedailydatafromthePacificBasinCapitalMarkets(PACAP)databasemaintainedbytheUniversityofRhodeIsl.Thesampleperiodextendsfrom1yearbefe(preevent)to1yearafter(postevent)thelistingdayofthefut