我国债市与股市不同板块收益率相关性研究

发布时间：2018-04-24 18:07

本文选题：债市 + 股市板块　；参考：《复旦大学》2014年硕士论文

【摘要】：债券市场和股票市场是我国金融市场的重要组成部分,两市之间能否进行有效的资源配置决定着整个证券市场乃至金融市场的效率。21世纪以来我国股市和债市虽然都取得了长足的发展,但是仍然存在发展不均衡,资源配置低效,市场化的因素不足,监管过度等问题。考察债市与股市以及股市的各个板块之间的是否具有联动性是我国金融市场有效与否的重要指标。本文的研究对象是债市与股市及股市不同板块收益率相关性,本文选择了具有代表性的房地产板块和公用事业板块和股票全市场,首先对债市与股市及股市不同板块收益率的相关性进行了研究及比较,在此基础上研究宏观经济因素对这种相关性的影响及差异,采用了理论和实证相结合的方法。本文先对债市与股市及股市不同板块相关性的存在性及影响因素做了理论分析,从有效市场假说、行为金融理论和投资组合理论等经典金融理论出发论证了本文研究的理论基础,然后从理论上分析了宏观经济因素对债市与股市及股市不同板块相关性的影响机制,具体分别分析了利率、通货膨胀率、货币供应量、汇率和经济增长这几个因素可能对债市与股市及股市不同板块相关性产生的影响。本文的实证部分选取了股权分置改革后2007年1月至2013年12月的数据,首先建立了向量自回归模型(VAR模型)对债市与股市、债市与房地产板块、债市与公用事业板块收益率间的相关性进行了检验,具体采用了脉冲响应函数、方差分解以及格兰杰因果关系检验的方法。实证研究的第二部分,本文利用Johansen协整检验和格兰杰因果关系检验对债市与股市及股市不同板块相关性所受到的宏观经济变量影响情况进行实证分析。实证分析表明,债市与股市及房地产板块间存在较弱的相关性,债市与公用事业板块基本不存在相关性。债券市场的收益率变动主要还是来自于自身收益率变动的影响,来自房地产板块的影响要依次大于股市和公用事业板块。从影响因素来看,汇率、货币供应量和利率对相关系数的影响力度较大,通货膨胀率和经济增长对相关系数的影响力度较小；影响因素对债市与房地产板块收益率相关系数的影响力度最大,对债市与股市收益率相关系数影响力度次之,对债市与公用事业板块收益率相关系数影响力度最小文章最后,笔者就金融市场的发展提出了政策性建议。
[Abstract]:The bond market and the stock market are important components of our financial market. Effective allocation of resources between the two cities determines the efficiency of the entire securities market and even the financial market. Although the stock and bond markets in China have made considerable progress since the 21st century, there are still uneven development and low efficiency in the allocation of resources. Lack of market-oriented factors, excessive supervision and other problems. It is an important indicator of the effectiveness of China's financial market to investigate the linkage between bond market, stock market and each plate of stock market. The research object of this paper is the relationship between bond market and stock market and different stock market. This paper chooses the representative real estate sector, public utility plate and the whole stock market. Firstly, this paper studies and compares the correlation between bond market, stock market and stock market, and then studies the influence and difference of macroeconomic factors on this correlation, and adopts the method of combining theory and practice. This paper first makes a theoretical analysis of the existence and influence factors of bond market, stock market and different stock markets, and then makes a theoretical analysis on the efficient market hypothesis. Behavioral finance theory, portfolio theory and other classical financial theories demonstrate the theoretical basis of this study, and then theoretically analyze the influence mechanism of macroeconomic factors on bond market, stock market and different plates of stock market. The effects of interest rate, inflation rate, money supply, exchange rate and economic growth on the relationship between bond market and stock market and different sectors of stock market are analyzed respectively. The empirical part of this paper selects the data from January 2007 to December 2013 after the reform of split share structure. Firstly, it establishes the VAR model of vector autoregressive model (VAR model) for bond market and stock market, bond market and real estate sector. The correlation between bond market and public utility yield is tested by using impulse response function variance decomposition and Granger causality test. In the second part of the empirical study, we use Johansen cointegration test and Granger causality test to analyze the influence of macroeconomic variables on bond market and stock market and stock market. The empirical analysis shows that there is a weak correlation between bond market and stock market and real estate sector, but there is no correlation between bond market and public utility sector. The bond market's yield changes mainly come from the influence of its own yield, and the impact from the real estate sector is bigger than that of the stock market and the utility sector. From the perspective of influencing factors, exchange rate, money supply and interest rate have great influence on correlation coefficient, while inflation rate and economic growth have little influence on correlation coefficient. The influencing factors have the greatest influence on the correlation coefficient between bond market and real estate, followed by the bond market and stock market, the last part of the article is the least influence on the correlation coefficient between bond market and public utilities. The author puts forward policy suggestions on the development of financial market.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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