The Global and Local Factors of China’s Stock and Bond Marke

  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。

《Shanghai Finance》 2013-01

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The Global and Local Factors of China’s Stock and Bond Markets——Comparison based on Different Periods

Hu Qiuling/Yu Tingting  

The thesis divides the data over the period from 2007-2010 into three phases,namely normal times,Financial Crisis of U.S.and Double-crisis period.It makes analysis on the contagion routes of international financial market risks into China’s securities markets via descriptive statistics and Granger causality test.It uses rolling correlation coefficient and rolling residual correlation coefficient to depict the linkage between Chinese stock market and bond market during different period and different event windows.On the above basis,it makes it clear which are more influential,the international factors or the domestic ones that cause the coordination of stock market and securities market.By doing so,it’s intended to make the anti-crisis policy more effective.

【Key Words】：
【Fund】： 国家人文社会科学基金项目(07BJY169);; 陕西师范大学人文社会科学基金重点项目(09SZD11)
【CateGory Index】： F224;F832.51

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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。