中国股票市场与债券市场的收益率联动关系研究

发布时间：2018-05-14 09:39

本文选题：股票 + 债券　；参考：《东北财经大学》2013年硕士论文

【摘要】：资本市场是配置社会资源的场所,成熟有效的资本市场对于整体经济的健康发展具有不可估量的作用。股票市场和债券市场是资本市场的核心组成部分,深入探讨两者的联动关系对于微观投资者的投资决策和宏观资本市场平稳运行具有很强的现实指导意义。本文从收益率角度出发来研究我国股票市场与债券市场之间的相关性,探求股票市场与债券市场收益率之间联动关系的存在性,联动关系以何种形式存在,以及宏观经济因素对于联动关系的影响,并提出相应的政策建议。首先从理论出发分析了股票市场与债券市场的联动性的机理,并从货币因素、价格因素以及实体经济因素三个角度来分析宏观经济变量对股票市场与债券市场收益率之间联动性的影响。货币因素变量选用利率与货币供给量；价格因素变量选用通货膨胀与汇率；实体经济因素选用固定资产投资与消费。根据理论分析,股票市场与债券市场存在相互影响的机理,主要通过三个渠道相互影响：股票与债券的资产组合配置；商业银行的资产负债结构；实体经济的周期性运行。利率、货币供给量、汇率的变化会导致股票市场与债券市场收益率同方向变动；通货膨胀的变化对股票市场与债券市场收益率的相关性影响不确定；固定资产投资、消费的变化会导致股票市场与债券市场收益率反方向变动。实证分析主要分为两个部分：股票市场与债券市场收益率相关性的存在性研究；股票市场与债券市场相关性的影响因素研究。第一部分实证方法采用建立向量自回归(VAR)模型,并做脉冲响应函数、方差分解和Granger因果关系分析。第二部分实证方法采用协整检验以及向量误差修正模型(VECM)模型进行分析。通过实证分析,结果表明股票市场与债券市场之间确实存在相互影响的关系,但是股票市场与债券市场之间的相互影响较弱。另外还发现,股票市场对债券市场的影响要强于债券市场对股票市场的影响。利率、货币供给量、汇率、通货膨胀、固定资产投资、消费对股票市场与债券市场收益率的联动性均有影响。利率与股票和债券市场收益率存在负的相关性；货币供给量与股票和债券市场收益率存在正的相关性；通货膨胀与股票和债券市场收益率存在负的相关性；汇率与股票和债券市场收益率存在负的相关性；固定资产投资与股票和债券市场收益率存在负的相关性；消费与股票和债券市场收益率存在正的相关性。这些宏观经济因素对两个市场收益率联动性的影响与理论分析基本一致。同时还发现,宏观经济因素对股票市场的影响大于对债券市场的影响。根据理论分析与实证分析,本文得出结论：股票市场与债券市场之间存在相互影响的关系,但是相互作用不均衡；股票市场与债券市场呈分割状态；宏观经济因素影响股票市场与债券市场的联动性,宏观经济因素对股票市场的影响大于对债券市场的影响。最后,根据所得出的结论,笔者就中国证券市场现状以及未来发展提出几点政策建议。
[Abstract]:The capital market is the place to allocate the social resources, and the mature and effective capital market has an inestimable effect on the healthy development of the whole economy. The stock market and the bond market are the core components of the capital market. The deep exploration of the linkage relationship between the two and the smooth operation of the investment decision and the macro capital market of the micro investors It is of great practical significance.
From the angle of yield, this paper studies the correlation between the stock market and the bond market, explores the existence of the linkage relationship between the stock market and the bond market rate of return, the form of the linkage relationship, and the influence of the macroeconomic factors on the linkage relationship, and puts forward the corresponding policy suggestions.
First, the mechanism of the linkage between the stock market and the bond market is analyzed from the theory, and the influence of the macroeconomic variables on the linkage between the stock market and the bond market yield is analyzed from three aspects of monetary, price and real economic factors. Prime variables are inflation and exchange rate; real economy factors choose fixed assets investment and consumption.
According to the theoretical analysis, the mutual influence between the stock market and the bond market is mainly influenced by three channels: the portfolio allocation of stock and bond, the assets and liabilities structure of the commercial banks, the periodic operation of the real economy. The change of interest rate, money supply and foreign exchange rate will lead to the profit of the stock market and the bond market. The change in the rate of inflation has an uncertain influence on the correlation between the stock market and the bond market yield; the change in the investment of fixed assets and the change of consumption will lead to the reverse direction of return on the stock market and the bond market.
The empirical analysis is divided into two parts: the existence of the stock market and the bond market yield correlation; the study of the correlation between the stock market and the bond market. The first part of the empirical method adopts the vector autoregression (VAR) model, and does the impulse response function, the variance decomposition and the Granger causality analysis. Second Some empirical methods are analyzed by co integration test and vector error correction model (VECM).
The results show that there is a mutual influence between the stock market and the bond market, but the mutual influence between the stock market and the bond market is weak. In addition, it is found that the impact of the stock market on the bond market is stronger than that of the bond market on the stock market. There is a negative correlation between interest rate and the yield of stock and bond market; there is a positive correlation between the supply of money and the yield of stock and bond market; there is a negative correlation between inflation and the return on stock and bond market; There is a negative correlation between rate and stock and bond market yield; there is a negative correlation between fixed asset investment and stock and bond market returns; there is a positive correlation between consumption and stock and bond market returns. The impact of these macroeconomic factors on the linkage of the two market returns is basically consistent with the theoretical analysis. It is found that the impact of macroeconomic factors on the stock market is greater than that on the bond market.
Based on the theoretical analysis and empirical analysis, this paper draws a conclusion that there is a mutual influence between the stock market and the bond market, but the interaction is unbalanced; the stock market and the bond market are divided; the macroeconomic factors affect the linkage between the stock market and the bond market, and the influence of the macroeconomic factors on the stock market. Greater than the impact on the bond market.
Finally, according to the conclusion, the author puts forward some policy suggestions on the current situation and future development of China's securities market.

【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

【参考文献】