中国股票市场和债券市场收益率动态相关性分析  

An Analysis of the Dynamic Correlation of Yields between China's Stock Market and Bond Market

作　　者：郑振龙[1] 陈志英[1] 

机构地区：[1]厦门大学经济学院金融系,福建厦门361005

出　　处：《当代财经》2011年第2期45-53,共9页Contemporary Finance and Economics

基　　金：国家自然科学基金面上项目(70971114);福建省自然科学基金项目(2009J01316);教育部人文社科一般项目(07JA790077);教育部留学回国人员科研启动基金项目"人民币即期与远期汇率关系及外汇市场协同稳定机制研究"

摘　　要：基于A股综合市场收益率和中信全债指数收益率数据来研究中国股票市场和债券市场收益率的动态相关性,并分析时变的股债相关性影响因素,以及在横截面上对股票收益率的定价影响进行考察后得知:股债相关性是时变的,股票市场的不确定性和预期通货膨胀率是影响股债相关性的主要因素;通过虚拟变量回归发现,股债相关性在横截面上对股票收益率的影响很小。这些结论对于投资者来说具有直接的现实意义。On the basis of the data of A-share comprehensive market yield and the all bond index yield of CITIC,this paper examines the dynamic correlation between the stock returns and bond returns in China,analyzes the driving forces behind this time-varying correlation,and discusses the pricing influence on stock returns on cross section.The results indicate that the stock-bond correlation is time-varying,and the uncertainty of the stock market and the expected inflation rate are the major factors influencing the share-debt correlation.It is also found through the dummy variable regression that the stock-bond correlation has little effect on stock returns on the cross section.For investors,these conclusions have some direct relevance.

关 键 词：股票债券相关性 宏观因子 市场波动率 换手率 相关性风险 

分 类 号：F830.91[经济管理—金融学]