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。
This paper uses VECM and CARCH- M models to respectively research the mean spillover and volatility spillover effects between the stock market represented.by 300 Index and the bond market represented by CSI Bond Index.Meanwhile,we also establish TARCH model to test the volatility leverage effect between the two markets.The empirical results show that the long- term co- integration and short- term fluctuation relationship exists between the yield series of stock market and bond market,while the stock market yields are significantly influenced by long- run equilibrium relationship and the bond market shows greater mean spillover effect than the stock market The stock market and bond market both have some certain degree of risk excitation characteristics,while the stock market is more obvious.Their volatility spillover effects are both significant,but the bond market＇ s spillover effect is stronger than and the stock market What＇ s more,there is a significant leverage effect between the stock market and bond market,showing that the impact of bad news on the stock market as well as the bond market is larger than good news while the two markets＇ reaction to news is not very different.
出处
《湖南财政经济学院学报》
2016年第2期38-45,共8页
Journal of Hunan University of Finance and Economics
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)
关键词
股市
债市
溢出效应
杠杆效应
stock market
bond market
spillover effect
leverage effect
