我国股票市场与公司债市场联动性研究

发布时间：2018-01-08 15:28

本文关键词：我国股票市场与公司债市场联动性研究　出处：《南京大学》2014年硕士论文　论文类型：学位论文

【摘要】：股票和公司债是上市公司在进行融资时的两种重要融资手段。我国股票市场在走过了20个春秋后,已经成为世界最大的股票市场之一。而在我国,第一只公司债才在2007年9月由长江电力发行了,随后我国的公司债市场才逐渐发展起来。2011年在一系列利好政策的推动下,我国公司债市场迎来了井喷式的发展,2008年、2009年、2010年我国公司债发行的规模分别为288亿元、734亿元和511亿元,2011年、2012年、2013年我国的公司债发行规模分别达到1291亿元、2492亿元、1261亿元。自2008年1月1日至2014年2月28日,沪深两市累计发行公司债445期,总计发行6703.45亿元。公司债融资额占股权类融资额的比率,在2012年甚至一度达到69%,发行公司债融资正在被越来越多的上市公司所选择。公司债的迅速发展,必然会引来资本的关注,资本的逐利性以及资本对风险的厌恶性,使得资本会在这两个市场间频繁进入,从而建立了两个市场间的联系。而近几年发展迅速的股票、债券类组合的理财产品、信托产品以及投资组合基金等等,更是加强了股票市场和公司债市场间的联动性。目前,对于股市债市联动性的研究,主要集中于股市与国债、银行间债券市场或者是针对债市整体的研究,而对于公司债这种与上市公司的联系更为紧密的新兴债券,对它与股市之间的联动关系却很少有研究。本文选取了沪深300指数和中证公司债指数作为数据指标,以2008年1月1日至2014年2月28日间的收盘价为统计样本,运用VAR模型、多元GARCH模型来研究沪深300指数收益率与公司债指数收益率之间波动的联动关系。研究结果表明：(1)在整个样本期间公司债指数收益率与沪深300指数收益率自身的波动均能对对方的波动产生显著影响,说明两者之间有着对称性的波动溢出效应。(2)公司债指数收益率与沪深300指数收益率自身的波动会对对方造成反向的影响,表现为两者之间波动的“跷跷板”效应。(3)公司债指数收益率与沪深300指数收益率的条件相关系数具有时变性,表现为2011年之前两者之间有着微弱的正向相关关系,而在2011年之后两者之前有着明显的负向相关关系。
[Abstract]:Stock and corporate bonds are two important financing methods for listed companies. After 20 years, our stock market has become one of the largest stock markets in the world. The first corporate bond was issued by Changjiang Power in September 2007, and then the Chinese corporate bond market developed gradually. In 2011, it was promoted by a series of favorable policies. China's corporate bond market has ushered in a blowout development, 2008, 2009, 2010, China's corporate bond issuance scale of 28.8 billion yuan, 73.4 billion yuan and 51.1 billion yuan respectively. 2011, 2012, 2013, China's corporate bond issuance scale respectively reached 129.1 billion yuan, 249.2 billion yuan. 126.1 billion yuan. From January 1st 2008 to February 28th 2014, the Shanghai and Shenzhen stock markets issued a total of 4445 issues of corporate bonds. A total of six hundred and seventy billion three hundred and forty-five million yuan was issued. The ratio of corporate bond financing to equity financing reached even 69% in 2012. The financing of corporate bonds is being chosen by more and more listed companies. The rapid development of corporate bonds will inevitably attract the attention of capital, the interest of capital and the risk aversion of capital. In recent years, the rapid development of stocks, bond portfolio wealth management products, trust products and portfolio funds, and so on. It also strengthens the linkage between stock market and corporate bond market. At present, the research of stock market bond market linkage mainly focuses on stock market and national debt, interbank bond market or the whole study of bond market. And for corporate bonds, which are more closely related to listed companies, emerging bonds. However, there is little research on the relationship between it and the stock market. In this paper, we choose the CSI 300 index and the CSI bond index as the data indicators. Taking the closing price from January 1st 2008 to February 28th 2014 as the statistical sample, the VAR model was used. The multivariate GARCH model is used to study the relationship between the volatility of Shanghai and Shenzhen 300 index and the return of corporate bond index. During the whole sample period, the volatility of corporate bond index yield and Shanghai and Shenzhen 300 index yield itself can have a significant impact on each other's volatility. It shows that there is a symmetrical volatility spillover effect between them. 2) the volatility of the return rate of corporate bond index and the return rate of CSI 300 index itself will have a reverse effect on the other side. The conditional correlation coefficient between the yield of CSI and CSI 300 index is time-varying. It is shown that there is a weak positive correlation between the two before 2011 and a negative correlation before 2011.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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