中国股市、债市间溢出效应与杠杆效应研究

发布时间：2018-03-22 01:34

本文选题：股市　切入点：债市　出处：《湖南财政经济学院学报》2016年02期 　论文类型：期刊论文

【摘要】：利用VECM、GARCH-M模型分别对以沪深300指数为代表的股票市场与以中证全债指数为代表的债券市场之间的均值溢出与波动性溢出效应进行研究,同时还对两个市场分别建立TARCH模型以检验二者之间波动性杠杆效应。结果表明:股市、债市的收益率之间存在长期协整关系与短期波动调整,股市收益率受到长期均衡关系的显著性影响;债市的均值溢出效应要显著大于股市;股市、债市都存在一定程度的风险激励特征,二者的波动性溢出效应均表现显著,且前者要明显强于后者;股市、债市之间存在显著的波动性杠杆效应,表现为利空消息对股市、债市的冲击要明显大于利好消息。
[Abstract]:Using VECM GARCH-M model, we study the mean and volatility spillover effects between the stock market represented by CSI 300 index and the bond market represented by CSI 300 index, and the bond market represented by CSI GARCH-M model. At the same time, the TARCH model is established to test the volatility leverage effect between the two markets. The results show that there is a long-term cointegration relationship and short-term volatility adjustment between stock market and bond market. The stock market yield is significantly affected by the long-term equilibrium relationship; the average spillover effect of the bond market is significantly greater than that of the stock market; the stock market and the bond market have a certain degree of risk incentive characteristics, and the volatility spillover effects of both of them are significant. The former is obviously stronger than the latter, and there is a significant volatility leverage effect between the stock market and bond market, which is shown by the negative news on the stock market, and the impact of the bond market is obviously greater than that of the good news.
【作者单位】：中国社会科学院研究生院;中国社会科学院数量经济与技术经济研究所;
【基金】：国家社科基金重大项目“新常态下我国宏观经济监测和预测研究”(项目编号:15ZDA011)
【分类号】：F832.51

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