Volatility Spillover Effect Between China Bond Market and St
本文关键词：我国证券投资基金、股票市场和债券市场的溢出风险测度——来自上海证券市场的证据，由笔耕文化传播整理发布。
《Securities Market Herald》 2011-09
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Volatility Spillover Effect Between China Bond Market and Stock Market: Analysis Based on the SJC-Copula Model
Xiao Liping
This paper studies the volatility spillover effect between bond market and stock market based on the SJC-Copula model,and also analyzes the influence of volatility spillover effect on the risk avoidance ability of bond market.The studied data are daily data of SP/CITIC Government Bond Index and SSE Composite Index from March 31,2003 to August 31,2009.The existence of the volatility spillover effect in these two markets is confirmed,and it is also showed that the volatility spillover effect significantly enhanced the risk avoidance ability of bond market.
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【CateGory Index】：
F832.5;F224
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【Citations】
Chinese Journal Full-text Database 1 Hits
1 WANG Yintian WEN Zhiying;Stock and Bond Market Liquidity:The Spillover Effects[J];Journal of Financial Research;2010-03
【Co-citations】
Chinese Journal Full-text Database 10 Hits
1 WANG Bin-hui1,ZHENG Hui1, CHENG Jun-fei2 1.College of Economice Jinan University 510632; 2.Finane Development Acadeny,Naukai 300071;Empirical Research on Spillover Effect among the Stock,Currency and Bond Market of China[J];Journal of Jinan University(Philosophy & Social Science Edition);2010-04
2 WANG Yintian WEN Zhiying;Stock and Bond Market Liquidity:The Spillover Effects[J];Journal of Financial Research;2010-03
3 GAO Qiang ZOU Hengfu;An Empirical Research on the Informational Efficiency of China's Enterprise Bonds and Corporate Bonds[J];Journal of Financial Research;2010-07
4 WANG Lu,WANG Qin,HE Ping(Department of Stutistics,School of Mathematics,Southwest Jiaotong University,Chengdu,Sichuan 610031,China);The Change Related Structures of Volatility between the Stock and Bond Market Based on the Threshold Mixed-copula Model[J];Journal of Quantitative Economics;2011-03
5 LUO Ming-hua(School of Economics and Management,University of Electronic Science and Technology of China,Chengdu 610054,China);Survey of Capital Market Liquidity Research[J];Economic Research Guide;2012-07
6 HU Qiuling MA Li;The Volatility Spillover Effect between the Stock Market and the Bond Market in China[J];Journal of Financial Research;2011-10
7 LI Shi-ze School of Insurance,Central University of Finance and Economics,Beijing 100081;Research on the Relationship between China's Major Financial Markets Based on the VAR Model[J];Accounting and Finance;2012-01
8 ZHOU Hao-wen,YAN Fu-gui(School of Economics and Finance,Xi'an Jiaotong University,Xi'an 710061,China);Analysis of Dynamic Tail Dependence of funds,stocks and treasury bonds Based on Time-varying Copula[J];Journal of Xi'an Jiaotong University(Social Sciences);2010-04
9 Qinglong Fan;The empirical analysis of the volatility spillover effect of our agricultural products market and industrial products market[J];中国对外贸易(英文版);2010-22
10 ;我国证券投资基金、股票市场和债券市场的溢出风险测度——来自上海证券市场的证据[J];Zhejiang Finance;2011-06
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1 WU Hao-min1,2 Yang Xing-quan1 WEI Hui1 1 Economy and Management School,Shihezi University,Shihezi City,Xinjiang,832003;2 Management School,Jinan University,Guangzhou,510632;Product Market Competition and Idiosyncratic Risk——Based on Empirical Evidence of Chinese Listed Companies[A];[C];2011
【Co-references】
Chinese Journal Full-text Database 2 Hits
1 WANG Yintian WEN Zhiying;Stock and Bond Market Liquidity:The Spillover Effects[J];Journal of Financial Research;2010-03
2 Wang Ying,Bond Trading Division,Financial Market Management Department,PBC Shanghai Head Office Rong Yihua,Director,Bond Trading Division,Financial Market Management Department,PBC Shanghai Head Office;Some analysis on institutional investors' performance in the interbank bond market in 2010[J];China Money;2011-04
【Secondary Citations】
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1 Wang Lu;Quantity Study of Influential Factors of Spillover Effect of Stock Market and Bond Market in China[J];Financial Theory & Practice;2008-08
2 Ma Hongchao;Positive Research for Speculation in China's Stock Market[J];Journal of Finance;2001-03
3 Sun Peiyuan Yang Zhaojun;Liquidity, Trading Activity and Bid-Ask Spread: An Empirical Study on Shanghai Stock Market[J];Shanghai Management Science;2002-03
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本文关键词：我国证券投资基金、股票市场和债券市场的溢出风险测度——来自上海证券市场的证据，由笔耕文化传播整理发布。
，本文编号：120022
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