我国交易所国债与股票市场相关性的实证研究  

An Empirical Study on the Correlations between National Debt Market and Stock Market in China's Stock Exchange

作　　者：张细松[1,2] 

机构地区：[1]中南财经政法大学新华金融保险学院,武汉430060 [2]山东经济学院财政金融学院,济南250014

出　　处：《云南财经大学学报》2010年第1期99-107,共9页Journal of Yunnan University of Finance and Economics

摘　　要：交易所国债市场有边缘化的倾向,交易所股票市场结构也很不完善,有碍于国债市场和股票市场功能的发挥。通过协整检验、误差修正模型分析和格兰杰因果关系检验,证明了中国国债市场和股票市场的相关性,并分析了国债市场对于股票市场的重要意义;最后得出几点重要启示。China＇ s national ＂debt market has the tendency of marginalization, and the structure of the stock market is incomplete, which hinders the functions of both the markets. By using co - integration test, error correction model analysis, and Granger causality test, the author proves the correlations between ＇the two markets, and he believes that the national debt market is important to the development of the stock market.

关 键 词：国债市场 股票市场 相关性 实证分析 

分 类 号：F832.5[经济管理—金融学]