债市和股市波动非对称性  

An Empirical Analysis of the Volatility Asymmetry between Bond and Stock Market

作　　者：陆贤伟[1] 董大勇[1] 纪春霞[1] 

机构地区：[1]西南交通大学经济管理学院,四川成都610031

出　　处：《系统工程》2009年第9期10-15,共6页Systems Engineering

基　　金：国家自然科学基金资助项目(7050102570771097);教育部新世纪人才支持计划资助项目(NCET/08/0826)

摘　　要：由于在信息冲击下非对称效应的存在,使得金融市场不仅方差存在非对称效应,而且协方差也存在非对称效应。运用加入非对称项的对角VECH(ADAECH)模型,实证研究债券市场与股票市场波动的非对称效应。研究发现,债券市场和股票市场存在显著条件方差非对称效应,而债券市场和股票市场间对同一信息呈反方向变动的协方差非对称效应也在一定程度上显著存在。The existence of information asymmetry effect leads to asymmetric effects of both variance and covariance in financial markets. Based on a diagonal VECH （ADVECH） model, this paper empirically studies the asymmetric effects between bond and stock markets. Research findings show that there are significant asymmetrical effects of conditional variance in bond and stock markets, where there to some degree exist significantly asymmetrical effects of covariance which vary with the same information in reverse direction.

关 键 词：ADVECH模型 方差非对称 协方差非对称 债券-股票市场 

分 类 号：F830[经济管理—金融学]