次贷危机后我国股市与债市的相关性分析

发布时间：2018-02-26 06:18

本文关键词： 中国股市债市相关性次贷危机　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：本文利用实证分析与理论分析相结合的方式来研究次贷危机之后,2009年3月至2014年3月间中国股市与债市的相关关系以及经济变量对二者月度相关系数的影响。股票与债券具有不同的法律内涵,但二者的定价原理有共通之处,都是将未来的现金流贴现到现在。但现金流入的期限,不确定性,投资者要求的收益率等因素的不同导致二者的价格出现很大差异。不考虑破产情形,股票的未来现金流入是永续的,不确定性更高。而债券通常具有到期日,且票面利率决定了未来可能的现金流入是一定的。二者通常受到相同的宏观经济因素的影响,比如利率,货币供应量等。当这些宏观经济因素发生变化时,可能会导致股市与债市的同向或反向的变动。本文关于股市与债市相关性的研究,分为以下三个部分。第一部分是对股市与债市的定价模型进行了阐释。从定价原理的层面寻找股市与债市相关性的理论基础,并分别论述了影响股市和债市的宏观经济因素。第二部分是针对股市和债市进行实证分析。分析的结果显示,股市自相关的特征不明显,债市自相关的特征比较明显。股市与债市在收益率层面不存在内生性的因果关系,但在指数层面存在十分显著的协整关系。这种差异主要是由于二者的波动率特征导致。二者在收益率层面均表现出尖峰厚尾和波动从聚的特征,存在很明显的ARCH效应。协整关系表明,股市与债市在2009年3月到2014年3月五年间存在负相关的相互牵制的均衡,并且债市指数处于这种均衡关系中的主导地位。这种负相关的均衡关系与中国经济2009年至2014年五年间结构调整,产业升级,消化过剩产能,转变经济发展方式的宏观基调有很大关联。第三部分是针对股市与债市收益率的月度相关系数进行实证分析。分析的结果显示,银行间回购利率和货币供应量这两个指标对股市与债市收益率的相关系数影响较为显著。而反映宏观经济基本面的工业增加值和物价指数及货币政策指标对股债两市的月度相关系数均无显著影响。本文的研究对投资者的投资实践具有一定的参考意义,协整关系是投资者利用股市和债市进行风险对冲的重要条件。在2009年至2014年五年间,投资者可以通过在股市与债市之间合理调整头寸来规避单个市场的风险。股市与债市之间的相关关系并非一成不变,本文对股市与债市表现出协整关系的宏观经济背景进行了阐释。投资者在未来的投资实践中,可以根据宏观经济基本面的变化调整策略,对冲风险。
[Abstract]:This paper studies the relationship between Chinese stock market and bond market and the influence of economic variables on the monthly correlation coefficient between March 2009 and March 2014 after the subprime mortgage crisis. Tickets and bonds have different legal connotations, But the two pricing principles have something in common, both discounting future cash flows to the present. But the duration of cash inflows, uncertainty, The difference in the rate of return required by investors leads to significant price differences between the two. Regardless of bankruptcy, future cash inflows into stocks are sustainable and more uncertain. Bonds usually have maturity dates. And the coupon rate determines the possible cash inflow in the future. Both are usually affected by the same macroeconomic factors, such as interest rates, money supply, etc. When these macroeconomic factors change, May lead to the stock market and bond market in the same direction or reverse changes. This paper on the relationship between the stock market and the bond market, The first part is to explain the pricing model of stock market and bond market. The second part is an empirical analysis of the stock market and bond market. The results of the analysis show that the characteristics of the stock market autocorrelation is not obvious. The autocorrelation of bond market is obvious. There is no endogenous causality between stock market and bond market at the level of yield. However, there is a very significant cointegration relationship at the index level. This difference is mainly due to the volatility characteristics of both. There is an obvious ARCH effect. The cointegration relationship shows that there is a negative correlation between the stock market and the bond market between March 2009 and March 5th 2014. And the bond market index is in the dominant position in this equilibrium relationship. This negative correlation is related to China's economic restructuring, industrial upgrading, and the digestion of excess capacity in the five years from 2009 to 2014. The macro tone of changing the mode of economic development is closely related. The third part is an empirical analysis of the monthly correlation coefficient between stock and bond market yields. The interbank repo rate and money supply have a significant effect on the correlation coefficient between stock market and bond market yield, while the industrial added value and price index and monetary policy index reflect macroeconomic fundamentals. The monthly correlation coefficient of the two cities has no significant influence. The research in this paper has some reference significance for investors' investment practice. Co-integration is an important condition for investors to use the stock and bond markets to hedge their risks. In the five years from 2009 to 2014, Investors can avoid the risk of a single market by reasonably adjusting their positions between the stock and bond markets. The correlation between the stock market and the bond market is not inflexible. This paper explains the macroeconomic background of the cointegration relationship between stock market and bond market. In the future investment practice, investors can adjust their strategies according to the changes of macroeconomic fundamentals to hedge risks.
【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

【相似文献】