股票市场和债券市场的流动性溢出效应研究  

Stock and Bond Market Liquidity:The Spillover Effects

作　　者：王茵田[1] 文志瑛[1] 

机构地区：[1]清华大学经济管理学院,北京100084

出　　处：《金融研究》2010年第3期155-166,共12页Journal of Financial Research

摘　　要：股票市场和债券市场变量之间的溢出效应是近来金融学研究的一个重要课题。本文实证研究了我国股票市场和债券市场流动性之间的溢出效应,提供了我国股票和债券市场流动性一体化的证据。研究发现:首先,我国股票市场和债券市场流动性之间存在显著领先滞后关系并互为因果关系,符合"flight to liquidity";其次,宏观环境的变化对两个市场的流动性会产生显著的影响;更为重要的是,宏观环境对市场流动性的影响很大程度上是通过另一市场的传导而间接的发生作用。This paper establishes liquidity linkage between stock and government bond markets in China. There is a lead-lag relationship between the liquidity of the two markets and bi-drectional Granger causality. The effect of stock liquidity on bond liquidity is consistent with flight-to-quality or flight-to-liquidity episodes. Changes in the macro environment impact the liquidity of two markets significantly. More importantly, the shocks mostly are transferred to one of the markets through the other market, which acts as a channel. The paper provides important evidence of liquidity integration between stock and bond markets.

关 键 词：流动性 溢出效应 宏观变量 股票市场 债券市场 

分 类 号：F224[经济管理—国民经济] F832.51