中国股票市场与国债市场的关联度分析

发布时间：2018-01-14 09:37

本文关键词：中国股票市场与国债市场的关联度分析　出处：《上海交通大学》2012年硕士论文　论文类型：学位论文

【摘要】：在资产配置与风险分散决策中，股票与国债收益的相关性起到了一个基础的作用。但是两者的相关性并非常数。在这篇论文中，我们试图寻找到可能影响中国市场的相关性的潜在驱动力。先前的研究已经指出股票与债券收益的相关性应该为正数，因为宏观经济变量例如实际利率，会使得股票价格与债券价格同方向变动，但是通货膨胀的影响相对来说不清晰。上述观点也被以往针对西方国家的研究所证实。这篇论文希望研究中国是否有此现象。在检验过不同的潜在因素，，例如：预期通货膨胀率，实际利率，股票市场的波动性与股票市场的收益率后，我们发现实际利率和股票市场的波动性可以显著地（在5%显著性水平下）影响股票与国债收益的相关性。波动率通常作为市场风险追寻或者风险逃避等市场情绪的风向标，我们证实当市场出现波动，投资者会寻求以国债为代表的低风险资产，并推高其交易价格。“逃往质量（资产）”这种现象导致了股票与国债的一个负的相关性。这篇论文使用了一些现代的模型，例如动态条件相关模型（dynamicconditional correlation model）和Vasicek模型来估计一些国内不易取得的数据。
[Abstract]:In the decision of asset allocation and risk diversification, the correlation between stock and bond yield plays a fundamental role, but the correlation between the two is not constant. In this paper. Previous studies have pointed out that the correlation between stocks and bond yields should be positive because of macroeconomic variables such as real interest rates. It moves the stock price in the same direction as the bond price. But the impact of inflation is relatively unclear. This view has also been confirmed by previous studies on Western countries. The paper hopes to examine whether China has this phenomenon and has examined different underlying factors. For example: expected inflation, real interest rates, stock market volatility and stock market yields after. We find that real interest rates and stock market volatility can be significant (at the 5% significant level). Volatility is usually used as a vane of market sentiment such as market risk pursuit or risk escape. We confirm that when markets fluctuate, investors seek low-risk assets represented by Treasuries. The phenomenon of "escaping to quality (assets)" has led to a negative correlation between stocks and national debt. This paper uses some modern models. For example, dynamic conditional correlation model. And the Vasicek model to estimate some data that is not easily available in China.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.51

【相似文献】