国债市场与股票市场的溢出效应及动态相关性实证研究

发布时间：2018-05-09 07:03

本文选题：上证国债指数 + 银行间国债指数　；参考：《浙江工商大学》2014年硕士论文

【摘要】：中国的股票市场和国债市场作为中国金融市场的两个重要的子市场,两者之间的关系错综复杂。经过多年的发展,两市场都从刚开始的不稳定阶段一步一步地逐渐走向成熟,在直接融资和改善资源配置方面正发挥着越来越大的作用,但是,和西方一些发达国家相比,中国的这两个市场还在结构和制度方面存在着先天性的缺陷。特别是如今的国债市场,仍然处于严重的分割状态。国债市场按照交易场所分,主要分成上证国债市场和银行间国债市场。大部分文章在研究国债市场与股票市场间的关系时,都只将上证国债市场作为国债市场的代表,而没有将银行间国债市场考虑入内。所以本文将国债市场分成上证国债市场和银行间国债市场后,再与股票市场一起分析。从均值溢出效应、波动溢出效应以及动态相关性方面对三个金融市场作了实证研究。研究的基础数据对象选取了2005年4月29日至2013年11月19日的上证国债指数、银行间国债指数以及上证综合指数的收盘价数据。在均值溢出效应分析方面,首先通过了平稳性检验,进而依据LR、FPE、AIC、SC和HQ准则构建了VAR(4)模型,从整体上得出,相较于股市对债市的影响,债市对股市的影响较弱些。然后再在VAR模型的基础上进行了格兰杰因果关系检验,脉冲响应函数分析以及方差分解,得出在95%的置信水平下,银行间国债市场和上证国债市场互为格兰杰因果关系,上证股票市场为银行间国债市场的单向格兰杰因果关系。但上证股票市场和上证国债市场之间不存在显著的因果关系。市场对自身产生的信息反应速度快,也容易吸收。相比之下,对来自其他市场的信息,反应慢,也很难被较快地消化。相对于国债市场对股票市场的贡献程度,股票市场对国债市场的贡献程度要更加大一些。就国债市场而言,上证国债市场对银行间国债市场的贡献度要高于银行间国债市场对上证国债市场的贡献度。在波动溢出效应分析方面,建立了BEKK模型,得到三个市场的波动都表现出集聚性,并且上证股票市场两个国债市场产生的波动溢出效应要大于两个国债市场对上证股票市场产生的影响。而两个国债市场之间,有存在一定的双向波动溢出效应。而在动态相关性方面,引进了时下比较热门的DCC模型以及在2006年被提出来的在DCC模型的基础上考虑了金融资产间非对称冲击的模型AG-DCC。对时变条件相关系数进行的基本统计描述发现,两者的的结果没有很大的差异,但从AG-DCC模型的结果可以进一步看出,上证国债市场、上证股票市场以及银行间国债市场都会受到新息的冲击,并且三个市场收益率受到新息冲击的影响都是正向的。三个金融市场收益率波动都具有较强持久性,得到非对称冲击对三个市场间的动态相关性均有影响。文章最后做了总结,对消除国债的分割性以及促进国债市场与股票市场的和谐发展提出了几点建议,也提到了本文的一些缺点和不足。可以看出国债市场与股票市场是相互影响的,只有达到各个市场的和谐才能促进每个市场都健康稳步的发展。
[Abstract]:China's stock market and the national debt market are two important sub markets in the Chinese financial market. The relationship between the two is complicated. After years of development, the two market is gradually becoming mature step by step from the initial stage of instability, and it is playing a more and more important role in direct financing and improving the allocation of resources. Compared with some developed countries in the west, the two markets in China have a congenital defect in the structure and system. In particular, the Treasury bond market is still in a serious state of segmentation. The Treasury bond market is divided into the Shanghai stock bond market and the interbank treasury bond market according to the trading place. Most of the articles are in the research country. In the relationship between the bond market and the stock market, the bond market is only regarded as the representative of the Treasury bond market, but it does not consider the interbank bond market into the market. So the paper divides the Treasury bond market into the Shanghai stock market and the interbank bond market, and then analyzes the market with the stock market. An empirical study is conducted on three financial markets in terms of dynamic relevance.
The basic data object of the study selected the Shanghai stock bond index, the interbank treasury bond index and the closing price of the Shanghai Composite Index from April 29, 2005 to November 19, 2013. In the analysis of mean spillover effect, the stability test was first passed, and then the VAR (4) model was constructed according to the LR, FPE, AIC, SC and HQ standards. Compared with the impact of the stock market on the bond market, the bond market has less influence on the stock market.
Then, on the basis of the VAR model, the Grainger causality test, the impulse response function analysis and the variance decomposition are carried out. Under the confidence level of 95%, the inter bank bond market and the Shanghai stock bond market are mutually Grainger causality, and the Shanghai stock market is one way Grainger causality of the interbank state debt market. There is no significant causal relationship between the ticket market and the Shanghai stock market. The market has a quick response to the information produced by the market and is easy to absorb. In contrast, the response to the information from other markets is slow and difficult to be digested. The contribution of the stock market to the stock market and the contribution of the stock market to the national debt market. As far as the government debt market is concerned, the contribution of the Shanghai stock bond market to the interbank treasury bond market is higher than the contribution of the interbank bond market to the Shanghai stock bond market.
In the analysis of volatility spillover effect, the BEKK model is established, and the volatility of the three markets shows agglomeration, and the volatility spillover effect of the two bond markets in the Shanghai stock market is greater than the effect of the two treasury bond markets on the Shanghai stock market. And there are certain two-way fluctuations between the two countries' debt markets. In the aspect of dynamic correlation, we introduce the popular DCC model and the basic statistical description of the model AG-DCC. for the asymmetric impact of financial assets on the basis of the DCC model in 2006, and find that the results of the two are not very different, but from AG-DC The results of the C model can be further shown that the Shanghai stock bond market, Shanghai stock market and the inter bank treasury bond market will be affected by the new interest rate, and the three market returns are positively affected by the impact of new interest. The volatility of the three financial markets has strong persistence, and the asymmetric impact on the three markets The dynamic correlation has an impact.
At the end of this paper, a few suggestions are made to eliminate the division of national debt and promote the harmonious development of the national debt market and the stock market. Some shortcomings and shortcomings are also mentioned in this paper. It can be seen that the bond market and the stock market are mutually affecting. Only by achieving the harmony of the various markets can each market be healthy and stable. The development of the step.

【学位授予单位】：浙江工商大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.51;F812.5

【参考文献】