中国股市和债市溢出效应在牛熊市中的异化现象——基于上证综合指数和中债总指数的实证研究

发布时间：2018-05-29 17:42

本文选题：牛市 + 熊市　；参考：《预测》2012年04期

【摘要】：本文按照上证综合指数的走势将2005年6月6日至2008年10月28日的整个样本区间划分为牛市和熊市两个样本子区间,采用样本子区间内的上证综合指数和中债总指数的对数收益率日数据,通过VAR(p)-BVGJR-GARCH(1,1)-BEKK模型实证分析了不同市态下中国股市和债市间溢出效应的异化现象。结果显示,在牛熊市中,我国股市债市间不存在均值溢出效应,但两市场间的波动溢出效应存在着显著差异。牛市时期,两市场间存在双向的波动溢出效应,但一个市场的条件方差对另一市场负冲击不存在非对称效应。而熊市时期,两市场间只存在股市对债市的单向波动溢出效应,且一个市场的条件方差对另一市场负冲击均存在非对称效应。
[Abstract]:According to the trend of Shanghai Composite Index, the whole sample range from June 6, 2005 to October 28, 2008 is divided into two sample sub-regions: bull market and bear market. Based on the daily logarithmic return data of Shanghai Composite Index and Chinese debt Total Index, this paper empirically analyzes the alienation of spillover effects between Chinese stock and bond markets under different market conditions by using VARpBVGJR-GARCHK model. The results show that there is no mean spillover effect between China's stock market and bond market, but there are significant differences between the two markets. During the bull period, there is a two-way volatility spillover effect between the two markets, but the conditional variance of one market has no asymmetric effect on the negative impact of the other market. During bear market, there are only one-way volatility spillover effects of stock market on bond market, and the conditional variance of one market has asymmetric effect on negative impact of the other market.
【作者单位】：华东理工大学商学院金融工程研究所;南加州大学维特比工程学院;
【基金】：国家自然科学基金资助项目(71171083) 教育部人文社会科学研究基金资助项目(09YJC630075) 中央高校基本科研业务费专项资金资助项目(WN0923001,WN0922019)
【分类号】：F224;F832.51

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