我国股票市场与债券市场之间溢出效应的研究

发布时间：2018-02-04 08:37

本文关键词： 股票市场债券市场溢出效应 VEC模型　出处：《安徽大学》2017年硕士论文　论文类型：学位论文

【摘要】：股票市场和债券市场是我国金融市场的重要组成部分,近十几年我国股票市场和债券市场的发展都取得了一定的成就。然而两个市场的发展并不是一帆风顺,股票市场在2007年至2008年和2015年先后经历两次大涨大跌;债券市场同样在2008年和2016也经历大的波动。这些事情暴露了我国股市和债市存在着一些问题。不仅会对投资者和投资机构的资产配置造成影响,而且有可能会使得投资者和投资机构对我国的金融市场的发展失去信心,并有可能成为制约金融市场、资本市场可持续发展的障碍。目前我国正处于改革深化的关键时期,两个市场之间能否进行有效的资源配置决定着整个证券市场的效率。因此我们有必要对股票市场与债券市场之间的溢出效应进行研究。本文研究的主要目的是探求我国股票市场和债券市场之间是否存在相互的溢出效应,并基于对溢出效应的研究来判断目前我国股票市场和债券市场能否最为有效的实现资产配置,能否最为有效的化解市场的风险。基于此研究目的,本文采用了理论和实证相结合的分析方法。首先介绍了国内外学者对股票市场与债券市场之间关系的研究成果。国外的研究起步较早,成果较为丰富;国内的研究虽然起步较晚,但发展比较快。随后,本文介绍了溢出效应的内涵与测度方法,重点阐释了股票市场与债券市场之间形成溢出效应的原因,以及两个市场之间溢出效应的传导机制,和宏观因素对溢出效应的影响。最后进行了美国和我国股票市场与债券市场之间溢出效应的现状分析。本文的实证部分选取了 2005年11月1日到2016年10月31日的数据。首先通过建立向量误差修正模型(VEC)对股票市场与债券市场之间的溢出效应进行研究,探讨溢出效应的大小。然后通过利用Johansen协整检验对四个宏观经济变量与两个市场之间的溢出效应进行研究,探讨宏观经济变量对溢出效应的影响。最后得出结论:我国股票市场和债券市场之间存在着比较弱的溢出效应,说明目前我国股市与债券市场理论上还不能实现最优的资产配置,在这两个市场进行资产配置还不能够最为有效地分散市场的系统风险。并结合现状分析,就我国证券市场的发展提出了四点政策建议。
[Abstract]:Stock market and bond market are important parts of financial market in our country. The development of stock market and bond market in our country has made some achievements in recent years. However, the development of the two markets is not smooth sailing. The stock market experienced two big rises and falls from 2007 to 2008 and 2015. The bond market also experienced a lot of volatility in 2008 and 2016, which exposed some problems in China's stock and bond markets. It will not only affect the asset allocation of investors and investment institutions. And it may make investors and investment institutions lose confidence in the development of China's financial market, and may become a constraint on the financial market. The obstacle of sustainable development of capital market. At present, our country is in the key period of deepening reform. It is necessary to study the spillover effect between the stock market and the bond market. The main purpose of this study is to explore the efficiency of the securities market. Whether there are spillover effects between stock market and bond market in China. And based on the study of spillover effects to determine whether the current stock market and bond market can achieve the most effective asset allocation, the most effective solution to market risks. This paper introduces the research results of domestic and foreign scholars on the relationship between stock market and bond market. Although the domestic research started relatively late, but the development is relatively fast. Then, this paper introduces the connotation of spillover effect and measurement methods, focusing on the stock market and bond market between the formation of spillover effect reasons. And the transmission mechanism of spillover effect between two markets. Finally, the paper analyzes the current situation of spillover effect between the stock market and bond market in the United States and China. Data from November 1st 2005 to October 31st 2016. First, by establishing vector error correction model (. VEC) to study the spillover effect between stock market and bond market. Then we use Johansen cointegration test to study the spillover effect between the four macroeconomic variables and the two markets. Finally, the conclusion is drawn that there is a weak spillover effect between the stock market and the bond market in China. It shows that at present our stock market and bond market can not realize the optimal asset allocation theoretically, and the asset allocation in these two markets can not spread the market system risk most effectively. This paper puts forward four policy suggestions on the development of China's securities market.
【学位授予单位】：安徽大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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